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Book Cover
E-book
Author Baldeaux, Jan, author

Title Functionals of multidimensional diffusions with applications to finance / Jan Baldeaux, Eckard Platen
Published Cham : Springer, 2013

Copies

Description 1 online resource (xxiii, 425 pages)
Series Bocconi & Springer series ; v. 5
Bocconi & Springer series ; v. 5
Contents A Benchmark Approach to Risk Management -- Functionals of Wiener Processes -- Functionals of Squared Bessel Processes -- Lie Symmetry Group Methods -- Transition Densities via Lie Symmetry Methods -- Exact and Almost Exact Simulation -- Affine Diffusion Processes on the Euclidean Space -- Pricing Using Affine Diffusions -- Solvable Affine Processes on the Euclidean State Space -- An Introduction to Matrix Variate Stochastics -- Wishart Processes -- Monte Carlo and Quasi-Monte Carlo Methods -- Computational Tools -- Credit Risk under the Benchmark Approach -- Continuous Stochastic Processes -- Time-Homogeneous Scalar Diffusions -- Detecting Strict Local Martingales
Summary This research monograph provides an introduction to tractable multidimensional diffusion models, where transition densities, Laplace transforms, Fourier transforms, fundamental solutions or functionals can be obtained in explicit form. The book also provides an introduction to the use of Lie symmetry group methods for diffusions, which allows to compute a wide range of functionals. Besides the well-known methodology on affine diffusions it presents a novel approach to affine processes with applications in finance. Numerical methods, including Monte Carlo and quadrature methods, are discussed together with supporting material on stochastic processes. Applications in finance, for instance, on credit risk and credit valuation adjustment are included in the book. The functionals of multidimensional diffusions analyzed in this book are significant for many areas of application beyond finance. The book is aimed at a wide readership, and develops an intuitive and rigorous understanding of the mathematics underlying the derivation of explicit formulas for functionals of multidimensional diffusions
Analysis wiskunde
mathematics
economie
economics
finance
toegepaste wiskunde
applied mathematics
Mathematics (General)
Wiskunde (algemeen)
Bibliography Includes bibliographical references and indexes
Notes English
Print version record
Subject Diffusion processes.
Business mathematics.
MATHEMATICS -- Applied.
MATHEMATICS -- Probability & Statistics -- General.
Matemáticas financieras
Procesos de difusión
Business mathematics
Diffusion processes
Form Electronic book
Author Platen, Eckhard, author
ISBN 9783319007472
3319007475
3319007467
9783319007465
9781299857018
1299857019