INTERNATIONAL STANDARD BOOK NUMBER
(Number (ISBN
9783319007472
NATIONAL BIBLIOGRAPHY NUMBER
Country Code
IR
Number
EN-52383
LANGUAGE OF THE ITEM
.Language of Text, Soundtrack etc
انگلیسی
COUNTRY OF PUBLICATION OR PRODUCTlON
Country of publication
IR
TITLE AND STATEMENT OF RESPONSIBILITY
Title Proper
Functionals of Multidimensional Diffusions with Applications to Financ
General Material Designation
[Book]
Other Title Information
:[delta
First Statement of Responsibility
/ by Jan Baldeaux, Eckhard Platen
.PUBLICATION, DISTRIBUTION, ETC
Place of Publication, Distribution, etc.
Cham
Name of Publisher, Distributor, etc.
: Springer International Publishing :Imprint: Springer,
Date of Publication, Distribution, etc.
, 2013.
PHYSICAL DESCRIPTION
Specific Material Designation and Extent of Item
XXIII, 425 p. 38 illus., 27 illus. in color., online resource.
SERIES
Series Title
(Bocconi & Springer Series, Mathematics, Statistics, Finance and Economics,2039-1471
Volume Designation
; 5)
NOTES PERTAINING TO PUBLICATION, DISTRIBUTION, ETC.
Text of Note
Electronic
CONTENTS NOTE
Text of Note
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.
Text of Note
1 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.?╗╣
SERIES
Title
Bocconi & Springer Series, Mathematics, Statistics, Finance and Economics,2039-1471
Volume Number
5
TOPICAL NAME USED AS SUBJECT
Mathematics
Finance
Electronic books
LIBRARY OF CONGRESS CLASSIFICATION
Class number
E-BOOK
PERSONAL NAME - PRIMARY RESPONSIBILITY
Baldeaux, Jan.
PERSONAL NAME - SECONDARY RESPONSIBILITY
Platen, Eckhard
SpringerLink (Online service)
ORIGINATING SOURCE
Country
ایران
ELECTRONIC LOCATION AND ACCESS
Host name
9783319007465.pdf
Access number
عادی
Compression information
عادی
Date and Hour of Consultation and Access
9783319007465.pdf
Electronic Format Type
متن
old catalog
e
BL
1
a
Y
