Functionals of Multidimensional Diffusions with Applications to Finance
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 symmetr...
Enregistré dans:
| Auteurs principaux: | , |
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| Format: | Livre numérique |
| Langue: | Anglais |
| Publié: |
Cham :
Springer International Publishing : Imprint: Springer
[20..].
Cham : Springer Nature |
| Collection: | Bocconi & Springer Series, Mathematics, Statistics, Finance and Economics
5 |
| Accès en ligne: | Accès sur la plateforme de l'éditeur Accès sur la plateforme Istex Accès Université d'Orléans Accès INSA CVL |
| Note: |
Archives Springer e-books (Licence nationale) Archives Springer e-books (Licence nationale) |
| Autres localisations: | Voir dans le Sudoc |
| Edition sous un autre format: | • Functionals of multidimensional diffusions with applications to finance, Jan Baldeaux, Eckard Platen, Cham, Springer international publishing, 2013, 1 vol. (XXIII-425 p.), Bocconi & Springer series, 3-319-00747-5, Texte imprimé |
| Résumé: | 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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| Description: | Archives Springer e-books (Licence nationale) Archives Springer e-books (Licence nationale) |
| ISBN: | 9783319007472 |
| ISSN: | 2039-1471 |
| Accès: | Accès en ligne pour les établissements français bénéficiaires des licences nationales Accès soumis à abonnement pour tout autre établissement Conditions particulières de réutilisation pour les bénéficiaires des licences nationales. https://www.licencesnationales.fr/springer-nature-ebooks-contrat-licence-ln-2017 |