Functionals of Multidimensional Diffusions with Applications to Finance

• Κύριοι συγγραφείς: Baldeaux, Jan (Συγγραφέας), Platen, Eckhard (Συγγραφέας)
• Συγγραφή απο Οργανισμό/Αρχή: SpringerLink (Online service)
• Μορφή: Ηλεκτρονική πηγή Ηλ. βιβλίο
• Γλώσσα: English
• Έκδοση: Cham : Springer International Publishing : Imprint: Springer, 2013.
• Σειρά: Bocconi & Springer Series, Mathematics, Statistics, Finance and Economics, 5
• Θέματα: 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...

Πίνακας περιεχομένων:

• 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.