Functionals of Multidimensional Diffusions with Applications to Finance

• Main Authors: Baldeaux, Jan (Author), Platen, Eckhard (Author)
• Corporate Author: SpringerLink (Online service)
• Format: Electronic eBook
• Language: English
• Published: Cham : Springer International Publishing : Imprint: Springer, 2013.
• Series: Bocconi & Springer Series, Mathematics, Statistics, Finance and Economics, 5
• Subjects: Mathematics.; Applied mathematics.; Engineering mathematics.; Economics, Mathematical.; Macroeconomics.; Quantitative Finance.; Macroeconomics/Monetary Economics//Financial Economics.; Applications of Mathematics.

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...