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Mathematics - Quantitative Finance | Functionals of Multidimensional Diffusions with Applications to Finance

Functionals of Multidimensional Diffusions with Applications to Finance

Series: Bocconi & Springer Series, Vol. 5

Baldeaux, Jan, Platen, Eckhard

2013, XXIII, 425 p. 38 illus., 27 illus. in color.

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  • Provides the reader in a systematic way with the ability to derive explicit formulas for functionals of multidimensional diffusions
  • Special unique chapters on Lie symmetry group methods and matrix valued Wishart processes
  • Provides the most recent introduction to the benchmark approach to finance pioneered by Platen and co-authors
  • The reader finds readily applicable exact simulation methods for various multidimensional diffusion processes​
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.​

Content Level » Research

Keywords » benchmark approach - derivative pricing - diffusions - functionals - lie symmetry methods

Related subjects » Applications - Financial Economics - Quantitative Finance

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