Functionals of Multidimensional Diffusions with Applications to Finance
- 種類:
- 電子ブック
- 責任表示:
- by Jan Baldeaux, Eckhard Platen
- 出版情報:
- Cham : Springer International Publishing : Imprint: Springer, 2013
- 著者名:
- シリーズ名:
- Bocconi & Springer Series, Mathematics, Statistics, Finance and Economics ; 5
- ISBN:
- 9783319007472 [3319007475]
- 注記:
- 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
- ローカル注記:
- 学内専用E-BOOKS (local access only)
類似資料:
|
Birkhäuser |
Springer-Verlag Berlin Heidelberg |
|
Springer-Verlag Milan |
Springer Science+Business Media, LLC |
|
Springer Science+Business Media, LLC |
Birkhäuser Boston : Imprint: Birkhäuser |
|
Springer-Verlag Berlin Heidelberg | |
|
Springer International Publishing : Imprint: Springer |
Springer-Verlag Berlin Heidelberg |
|
Springer Milan |
Springer-Verlag London Limited |
