Functionals of Multidimensional Diffusions with Applications to Finance

Jan Baldeaux

ISBN 10: 3319007467 / ISBN 13: 9783319007465

Published by Springer, Palgrave Macmillan, 2013

About this Item

Druck auf Anfrage Neuware - Printed after ordering - 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.

Seller Inventory # 9783319007465

Bibliographic Details

• Title: Functionals of Multidimensional Diffusions with Applications to Finance
• Publisher: Springer, Palgrave Macmillan
• Publication Date: 2013
• Language: English
• ISBN 10: 3319007467
• ISBN 13: 9783319007465
• Binding: Buch
• Condition: Neu
• Dimensions: 241W x 160H x 29D millimeters 241 millimeters width by 160 millimeters height by 29 millimeters depth
• Weight: 840 grams

About this title

Synopsis

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.​