Functionals of Multidimensional Diffusions with Applications to Finance

Nonfiction, Science & Nature, Mathematics, Applied, Business & Finance, Economics, Macroeconomics
Cover of the book Functionals of Multidimensional Diffusions with Applications to Finance by Jan Baldeaux, Eckhard Platen, Springer International Publishing
View on Amazon View on AbeBooks View on Kobo View on B.Depository View on eBay View on Walmart
Author: Jan Baldeaux, Eckhard Platen ISBN: 9783319007472
Publisher: Springer International Publishing Publication: August 13, 2013
Imprint: Springer Language: English
Author: Jan Baldeaux, Eckhard Platen
ISBN: 9783319007472
Publisher: Springer International Publishing
Publication: August 13, 2013
Imprint: Springer
Language: English

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.​

View on Amazon View on AbeBooks View on Kobo View on B.Depository View on eBay View on Walmart

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.​

More books from Springer International Publishing

Cover of the book High Performance Natural Fiber-Nanoclay Reinforced Cement Nanocomposites by Jan Baldeaux, Eckhard Platen
Cover of the book Motivating Language Theory by Jan Baldeaux, Eckhard Platen
Cover of the book Safety and Efficacy of Gene-Based Therapeutics for Inherited Disorders by Jan Baldeaux, Eckhard Platen
Cover of the book Legal Personhood: Animals, Artificial Intelligence and the Unborn by Jan Baldeaux, Eckhard Platen
Cover of the book The Glutamate/GABA-Glutamine Cycle by Jan Baldeaux, Eckhard Platen
Cover of the book Search for Sterile Neutrinos with the MINOS Long-Baseline Experiment by Jan Baldeaux, Eckhard Platen
Cover of the book Damage Control in Trauma Care by Jan Baldeaux, Eckhard Platen
Cover of the book Fair Trial and Judicial Independence by Jan Baldeaux, Eckhard Platen
Cover of the book Mathematics of Energy and Climate Change by Jan Baldeaux, Eckhard Platen
Cover of the book Socially-critical Environmental Education in Primary Classrooms by Jan Baldeaux, Eckhard Platen
Cover of the book A Psychology of Culture by Jan Baldeaux, Eckhard Platen
Cover of the book Rhythms in Plants by Jan Baldeaux, Eckhard Platen
Cover of the book Sustainable Hydrogen Production Processes by Jan Baldeaux, Eckhard Platen
Cover of the book Data Privacy Games by Jan Baldeaux, Eckhard Platen
Cover of the book Probing Galaxy Evolution by Unveiling the Structure of Massive Galaxies Across Cosmic Time and in Diverse Environments by Jan Baldeaux, Eckhard Platen
We use our own "cookies" and third party cookies to improve services and to see statistical information. By using this website, you agree to our Privacy Policy