000 03558nam a22004815i 4500
001 978-3-319-00747-2
003 DE-He213
005 20140220082839.0
007 cr nn 008mamaa
008 130807s2013 gw | s |||| 0|eng d
020 _a9783319007472
_9978-3-319-00747-2
024 7 _a10.1007/978-3-319-00747-2
_2doi
050 4 _aHB135-147
072 7 _aKF
_2bicssc
072 7 _aMAT003000
_2bisacsh
072 7 _aBUS027000
_2bisacsh
082 0 4 _a519
_223
100 1 _aBaldeaux, Jan.
_eauthor.
245 1 0 _aFunctionals of Multidimensional Diffusions with Applications to Finance
_h[electronic resource] /
_cby Jan Baldeaux, Eckhard Platen.
264 1 _aCham :
_bSpringer International Publishing :
_bImprint: Springer,
_c2013.
300 _aXXIII, 425 p. 38 illus., 27 illus. in color.
_bonline resource.
336 _atext
_btxt
_2rdacontent
337 _acomputer
_bc
_2rdamedia
338 _aonline resource
_bcr
_2rdacarrier
347 _atext file
_bPDF
_2rda
490 1 _aBocconi & Springer Series, Mathematics, Statistics, Finance and Economics,
_x2039-1471 ;
_v5
505 0 _a1 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.
520 _aThis 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.
650 0 _aMathematics.
650 0 _aFinance.
650 1 4 _aMathematics.
650 2 4 _aQuantitative Finance.
650 2 4 _aFinancial Economics.
650 2 4 _aApplications of Mathematics.
700 1 _aPlaten, Eckhard.
_eauthor.
710 2 _aSpringerLink (Online service)
773 0 _tSpringer eBooks
776 0 8 _iPrinted edition:
_z9783319007465
830 0 _aBocconi & Springer Series, Mathematics, Statistics, Finance and Economics,
_x2039-1471 ;
_v5
856 4 0 _uhttp://dx.doi.org/10.1007/978-3-319-00747-2
912 _aZDB-2-SMA
999 _c96472
_d96472