Functionals of Multidimensional Diffusions with Applications to Finance

Name: Functionals of Multidimensional Diffusions with Applications to Finance
SKU: 23909665
Price: 143.99 AUD
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Paperback / softback

Series:

Bocconi and Springer Series

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Description

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.

Release date Australia

August 14th, 2015

Author

Audience

Professional & Vocational

Edition

Softcover reprint of the original 1st ed. 2013

Illustrations

XXIII, 425 p.

Pages

425

Series

Bocconi and Springer Series

Dimensions

155x235x23

ISBN-13

9783319033341

Product ID

23909665

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