Functionals of Multidimensional Diffusions with Applications to Finance:

相似文件 换一批

是 否 +2 论坛币

k人 参与回答

经管之家送您一份

应届毕业生专属福利!

求职就业群

赵安豆老师微信：zhaoandou666

经管之家联合CDA

送您一个全额奖学金名额~ !

立即领取

感谢您参与论坛问题回答

经管之家送您两个论坛币！

+2 论坛币

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.

本帖隐藏的内容

005_Functionals of Multidimensional Diffusions with Applications to Finance.pdf (5.38 MB, 需要: 20 个论坛币)

2015-6-12 12:53:25 上传

需要: 20 个论坛币  [购买]

Review

From the book reviews:
“This book is a valuable contribution to the literature on applications of stochastic processes to financial mathematics, and can serve as a useful introduction to the various techniques needed in order to derive closed form expressions for a variety of functionals of multidimensional diffusions arising in financial models but also as a useful reference book, in which researchers and practitioners may retrieve various useful results.” (Athanasios Yannacopoulos, Mathematical Reviews, March, 2015)


From the Back Cover

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.​

Product Details File Size: 6367 KB Print Length: 465 pages Publisher: Springer International Publishing; 1 edition (August 13, 2013) Publication Date: August 13, 2013 Language: English ASIN: B00EE4E06S

扫码加我 拉你入群

请注明：姓名-公司-职位

以便审核进群资格，未注明则拒绝

分享0 收藏4 回帖

关键词：Applications Dimensional Application Functional Diffusions transition research obtained provides methods

谢谢分享~

好书，支持一下

Functionals of Multidimensional Diffusions with Applications to Finance

Thanks

kankan

thanks for your sharing