Functionals of Multidimensional Diffusions With Applications to Finance: 5 - Rilegato

Libro 5 di 9: Bocconi & Springer Series

Baldeaux, Jan; Platen, Eckhard

 
9783319007465: Functionals of Multidimensional Diffusions With Applications to Finance: 5
Rilegato
ISBN 10: 3319007467 ISBN 13: 9783319007465
Casa editrice: Springer Nature, 2013

Sinossi

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.?

Le informazioni nella sezione "Riassunto" possono far riferimento a edizioni diverse di questo titolo.

Dalla quarta di copertina

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.?

Le informazioni nella sezione "Su questo libro" possono far riferimento a edizioni diverse di questo titolo.

Editore
Springer Nature
Data di pubblicazione
2013
Lingua
Inglese
ISBN 10 
3319007467
ISBN 13 
9783319007465
Rilegatura
Copertina rigida
Numero di pagine
425
Contatto del produttore
non disponibile
Persona responsabile
CMN Printpool Inh. Mathis Neumann
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Altre edizioni note dello stesso titolo

9783319033341: Functionals of Multidimensional Diffusions with Applications to Finance: 5

Edizione in evidenza

ISBN 10:  3319033344 ISBN 13:  9783319033341
Casa editrice: Springer, 2015
Brossura