Functionals of Multidimensional Diffusions with Applications to Finance

Language: English

Published by Springer, 2013

3319007467 / 9783319007465

Series: Book 5 of 9 - Bocconi & Springer Series

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Seller: AHA-BUCH GmbH, Einbeck, GermanyAHA-BUCH GmbH

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Druck auf Anfrage Neuware - Printed after ordering - 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.…

Seller Inventory # 9783319007465

Title
Functionals of Multidimensional Diffusions with Applications to Finance
Author
Eckhard Platen
Publisher
Springer
Publication year
2013
Condition
Neu
Binding
Buch
Language
English
ISBN 10
3319007467
ISBN 13
9783319007465
Item weight
788 grams
Dimensions
241x160x29 mm
Series
Book 5 of 9: Bocconi & Springer Series

AHA-BUCH GmbH

Einbeck, Germany

5-star seller

AbeBooks seller since August 14, 2006

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