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...
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| Main Authors: | , |
|---|---|
| Format: | Livre numérique |
| Language: | Anglais |
| Published: |
Cham :
Springer International Publishing : Imprint: Springer
[20..].
Cham : Springer Nature |
| Series: | Bocconi & Springer Series, Mathematics, Statistics, Finance and Economics
5 |
| Online Access: | 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 |
Table of Contents:
- 1 A Benchmark Approach to Risk Management 2 Functionals of Wiener Processes 3 Functionals of Squared Bessel Processes 4 Lie Symmetry Group Methods 5 Transition Densities via Lie Symmetry Methods 6 Exact and Almost Exact Simulation 7 Affine Diffusion Processes on the Euclidean Space 8 Pricing Using Affine Diffusions 9 Solvable Affine Processes on the Euclidean State Space 10 An Introduction to Matrix Variate Stochastics 11 Wishart Processes 12 Monte Carlo and Quasi-Monte Carlo Methods 13 Computational Tools 14 Credit Risk under the Benchmark Approach A Continuous Stochastic Processes B Time-Homogeneous Scalar Diffusions C Detecting Strict Local Martingales