Click Here to Download: https://ouo.io/tLjTTz8 Functionals of Multidimensional Diffusions with Applications to Finance By: Jan Baldeaux; Eckhard Platen Publisher: Springer Print ISBN: 9783319007465, 3319007467 eText ISBN: 9783319007472, 3319007475 Copyright year: 2013 Format: PDF Available from $ 109.00 USD SKU 9783319007472 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.
