Coverart for item
The Resource Functionals of multidimensional diffusions with applications to finance, Jan Baldeaux, Eckard Platen

Functionals of multidimensional diffusions with applications to finance, Jan Baldeaux, Eckard Platen

Label
Functionals of multidimensional diffusions with applications to finance
Title
Functionals of multidimensional diffusions with applications to finance
Statement of responsibility
Jan Baldeaux, Eckard Platen
Creator
Contributor
Author
Subject
Language
eng
Summary
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
Member of
Cataloging source
GW5XE
http://library.link/vocab/creatorName
Baldeaux, Jan
Dewey number
519.2/33
Index
index present
Language note
English
LC call number
QA274.75
Literary form
non fiction
Nature of contents
  • dictionaries
  • bibliography
http://library.link/vocab/relatedWorkOrContributorName
Platen, Eckhard
Series statement
Bocconi & Springer series
Series volume
v. 5
http://library.link/vocab/subjectName
  • Diffusion processes
  • Business mathematics
  • MATHEMATICS
  • MATHEMATICS
  • Business mathematics
  • Diffusion processes
Label
Functionals of multidimensional diffusions with applications to finance, Jan Baldeaux, Eckard Platen
Instantiates
Publication
Antecedent source
unknown
Bibliography note
Includes bibliographical references and indexes
Carrier category
online resource
Carrier category code
  • cr
Carrier MARC source
rdacarrier
Color
multicolored
Content category
text
Content type code
  • txt
Content type MARC source
rdacontent
Contents
  • Solvable Affine Processes on the Euclidean State Space
  • An Introduction to Matrix Variate Stochastics
  • Wishart Processes
  • Monte Carlo and Quasi-Monte Carlo Methods
  • Computational Tools
  • Credit Risk under the Benchmark Approach
  • Continuous Stochastic Processes
  • Time-Homogeneous Scalar Diffusions
  • Detecting Strict Local Martingales
  • A Benchmark Approach to Risk Management
  • Functionals of Wiener Processes
  • Functionals of Squared Bessel Processes
  • Lie Symmetry Group Methods
  • Transition Densities via Lie Symmetry Methods
  • Exact and Almost Exact Simulation
  • Affine Diffusion Processes on the Euclidean Space
  • Pricing Using Affine Diffusions
Control code
857279861
Dimensions
unknown
Extent
1 online resource (xxiii, 425 pages).
File format
unknown
Form of item
online
Isbn
9783319007472
Level of compression
unknown
Media category
computer
Media MARC source
rdamedia
Media type code
  • c
Other control number
10.1007/978-3-319-00747-2
http://library.link/vocab/ext/overdrive/overdriveId
516952
Quality assurance targets
not applicable
Reformatting quality
unknown
Sound
unknown sound
Specific material designation
remote
System control number
(OCoLC)857279861
Label
Functionals of multidimensional diffusions with applications to finance, Jan Baldeaux, Eckard Platen
Publication
Antecedent source
unknown
Bibliography note
Includes bibliographical references and indexes
Carrier category
online resource
Carrier category code
  • cr
Carrier MARC source
rdacarrier
Color
multicolored
Content category
text
Content type code
  • txt
Content type MARC source
rdacontent
Contents
  • Solvable Affine Processes on the Euclidean State Space
  • An Introduction to Matrix Variate Stochastics
  • Wishart Processes
  • Monte Carlo and Quasi-Monte Carlo Methods
  • Computational Tools
  • Credit Risk under the Benchmark Approach
  • Continuous Stochastic Processes
  • Time-Homogeneous Scalar Diffusions
  • Detecting Strict Local Martingales
  • A Benchmark Approach to Risk Management
  • Functionals of Wiener Processes
  • Functionals of Squared Bessel Processes
  • Lie Symmetry Group Methods
  • Transition Densities via Lie Symmetry Methods
  • Exact and Almost Exact Simulation
  • Affine Diffusion Processes on the Euclidean Space
  • Pricing Using Affine Diffusions
Control code
857279861
Dimensions
unknown
Extent
1 online resource (xxiii, 425 pages).
File format
unknown
Form of item
online
Isbn
9783319007472
Level of compression
unknown
Media category
computer
Media MARC source
rdamedia
Media type code
  • c
Other control number
10.1007/978-3-319-00747-2
http://library.link/vocab/ext/overdrive/overdriveId
516952
Quality assurance targets
not applicable
Reformatting quality
unknown
Sound
unknown sound
Specific material designation
remote
System control number
(OCoLC)857279861

Library Locations

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      38.944491 -92.326012
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