Functionals of multidimensional diffusions with applications to finance:
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Datensatz im Suchindex
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FUNCTIONALS OF MULTIDIMENSIONAL DIFFUSIONS WITH APPLICATIONS TO FINANCE
/ BALDEAUX, JAN
: 2013
TABLE OF CONTENTS / INHALTSVERZEICHNIS
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
DIESES SCHRIFTSTUECK WURDE MASCHINELL ERZEUGT.
FUNCTIONALS OF MULTIDIMENSIONAL DIFFUSIONS WITH APPLICATIONS TO FINANCE
/ BALDEAUX, JAN
: 2013
ABSTRACT / INHALTSTEXT
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
DIESES SCHRIFTSTUECK WURDE MASCHINELL ERZEUGT. |
| any_adam_object | 1 |
| author | Baldeaux, Jan Platen, Eckhard 1949- |
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| indexdate | 2025-03-02T15:00:25Z |
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| language | English |
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| publishDate | 2013 |
| publishDateSearch | 2013 |
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| series2 | Bocconi & Springer series |
| spellingShingle | Baldeaux, Jan Platen, Eckhard 1949- Functionals of multidimensional diffusions with applications to finance Bocconi & Springer series Diffusionsprozess (DE-588)4274463-5 gnd Finanzmathematik (DE-588)4017195-4 gnd |
| subject_GND | (DE-588)4274463-5 (DE-588)4017195-4 |
| title | Functionals of multidimensional diffusions with applications to finance |
| title_auth | Functionals of multidimensional diffusions with applications to finance |
| title_exact_search | Functionals of multidimensional diffusions with applications to finance |
| title_full | Functionals of multidimensional diffusions with applications to finance Jan Baldeaux ; Eckhard Platen |
| title_fullStr | Functionals of multidimensional diffusions with applications to finance Jan Baldeaux ; Eckhard Platen |
| title_full_unstemmed | Functionals of multidimensional diffusions with applications to finance Jan Baldeaux ; Eckhard Platen |
| title_short | Functionals of multidimensional diffusions with applications to finance |
| title_sort | functionals of multidimensional diffusions with applications to finance |
| topic | Diffusionsprozess (DE-588)4274463-5 gnd Finanzmathematik (DE-588)4017195-4 gnd |
| topic_facet | Diffusionsprozess Finanzmathematik |
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