Functionals Of Multidimensional Diffusions With Applications To Finance

Thảo luận trong 'Học tập' bởi ebooksfree, 22/5/2024.

  1. ebooksfree

    ebooksfree Thành viên nổi tiếng

    Tham gia:
    20/5/2024
    Bài viết:
    5,995
    Đã được thích:
    0
    Điểm thành tích:
    86
    Click Here to Download: https://ouo.io/tLjTTz8
    [​IMG]
    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.
     

    Xem thêm các chủ đề tạo bởi ebooksfree
    Đang tải...


    Các chủ đề tương tự:

Chia sẻ trang này