Functionals of Multidimensional Diffusions with Applications to Finance (Bocconi & Springer Series, 5)
ISBN-13:
9783319007465
ISBN-10:
3319007467
Edition:
2013
Author:
Eckhard Platen, Jan Baldeaux
Publication date:
2013
Publisher:
Springer
Format:
Hardcover
448 pages
Category:
Macroeconomics
,
Economics
,
Finance
,
Pricing
,
Management & Leadership
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Book details
ISBN-13:
9783319007465
ISBN-10:
3319007467
Edition:
2013
Author:
Eckhard Platen, Jan Baldeaux
Publication date:
2013
Publisher:
Springer
Format:
Hardcover
448 pages
Category:
Macroeconomics
,
Economics
,
Finance
,
Pricing
,
Management & Leadership
Summary
Functionals of Multidimensional Diffusions with Applications to Finance (Bocconi & Springer Series, 5) (ISBN-13: 9783319007465 and ISBN-10: 3319007467), written by authors
Eckhard Platen, Jan Baldeaux, was published by Springer in 2013.
With an overall rating of 3.7 stars, it's a notable title among other
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Description
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.
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