| 书目名称 | Functionals of Multidimensional Diffusions with Applications to Finance |
| 编辑 | Jan Baldeaux,Eckhard Platen |
| 视频video | |
| 概述 | Provides the reader in a systematic way with the ability to derive explicit formulas for functionals of multidimensional diffusions.Special unique chapters on Lie symmetry group methods and matrix val |
| 丛书名称 | Bocconi & Springer Series |
| 图书封面 |  |
| 描述 | 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. |
| 出版日期 | Book 2013 |
| 关键词 | benchmark approach; derivative pricing; diffusions; functionals; lie symmetry methods; quantitative finan |
| 版次 | 1 |
| doi | https://doi.org/10.1007/978-3-319-00747-2 |
| isbn_softcover | 978-3-319-03334-1 |
| isbn_ebook | 978-3-319-00747-2Series ISSN 2039-1471 Series E-ISSN 2039-148X |
| issn_series | 2039-1471 |
| copyright | Springer International Publishing Switzerland 2013 |
发表于 2025-3-21 17:27:43
