Functionals of Multidimensional Diffusions with Applications to Finance
(Sprache: Englisch)
This research monograph provides an introduction to tractable multidimensional diffusion models. It also offers an introduction to the use of Lie symmetry group methods for diffusions, which allows to compute a wide range of functionals.
Voraussichtlich lieferbar in 3 Tag(en)
versandkostenfrei
Buch (Kartoniert)
54.99 €
- Lastschrift, Kreditkarte, Paypal, Rechnung
- Kostenlose Rücksendung
- Ratenzahlung möglich
Produktdetails
Produktinformationen zu „Functionals of Multidimensional Diffusions with Applications to Finance “
This research monograph provides an introduction to tractable multidimensional diffusion models. It also offers an introduction to the use of Lie symmetry group methods for diffusions, which allows to compute a wide range of functionals.
Klappentext zu „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 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.
Inhaltsverzeichnis zu „Functionals of Multidimensional Diffusions with Applications to Finance “
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.
Bibliographische Angaben
- Autoren: Jan Baldeaux , Eckhard Platen
- 2015, Softcover reprint of the original 1st ed. 2013, XXIII, 425 Seiten, Maße: 15,6 x 23,8 cm, Kartoniert (TB), Englisch
- Verlag: Springer, Berlin
- ISBN-10: 3319033344
- ISBN-13: 9783319033341
Sprache:
Englisch
Pressezitat
"The textbook at hand focuses on 'tractable multidimensional models with functionals that have explicit solutions'. ... The book also covers in detail numerical techniques such exact and almost exact simulation, transform methods, and quasi-Monte Carlo schemes. Moreover, it contains a self-contained summary of the tools from stochastic calculus that are used in the main body of the text." (Johannes Muhle-Karbe, zbMATH 1401.60001, 2019)From the book reviews:
"This book is a valuable contribution to the literature on applications of stochastic processes to financial mathematics, and can serve as a useful introduction to the various techniques needed in order to derive closed form expressions for a variety of functionals of multidimensional diffusions arising in financial models but also as a useful reference book, in which researchers and practitioners may retrieve various useful results." (Athanasios Yannacopoulos, Mathematical Reviews, March, 2015)
Kommentar zu "Functionals of Multidimensional Diffusions with Applications to Finance"
Schreiben Sie einen Kommentar zu "Functionals of Multidimensional Diffusions with Applications to Finance".
Kommentar verfassen