Bocconi & Springer Series

Functionals of Multidimensional Diffusions with Applications to Finance

Authors: Baldeaux, Jan, Platen, Eckhard

  • 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​
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eBook $99.00
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  • ISBN 978-3-319-00747-2
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Hardcover $129.00
price for USA
  • ISBN 978-3-319-00746-5
  • Free shipping for individuals worldwide
  • Usually dispatched within 3 to 5 business days.
Softcover $129.00
price for USA
  • ISBN 978-3-319-03334-1
  • Free shipping for individuals worldwide
  • Usually dispatched within 3 to 5 business days.
Rent the ebook  
  • Rental duration: 1 or 6 month
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About this book

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.​

Reviews

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)


Table of contents (17 chapters)

  • A Benchmark Approach to Risk Management

    Baldeaux, Jan (et al.)

    Pages 1-21

  • Functionals of Wiener Processes

    Baldeaux, Jan (et al.)

    Pages 23-63

  • Functionals of Squared Bessel Processes

    Baldeaux, Jan (et al.)

    Pages 65-99

  • Lie Symmetry Group Methods

    Baldeaux, Jan (et al.)

    Pages 101-140

  • Transition Densities via Lie Symmetry Methods

    Baldeaux, Jan (et al.)

    Pages 141-159

Buy this book

eBook $99.00
price for USA (gross)
  • ISBN 978-3-319-00747-2
  • Digitally watermarked, DRM-free
  • Included format: PDF, EPUB
  • ebooks can be used on all reading devices
  • Immediate eBook download after purchase
Hardcover $129.00
price for USA
  • ISBN 978-3-319-00746-5
  • Free shipping for individuals worldwide
  • Usually dispatched within 3 to 5 business days.
Softcover $129.00
price for USA
  • ISBN 978-3-319-03334-1
  • Free shipping for individuals worldwide
  • Usually dispatched within 3 to 5 business days.
Rent the ebook  
  • Rental duration: 1 or 6 month
  • low-cost access
  • online reader with highlighting and note-making option
  • can be used across all devices
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Bibliographic Information

Bibliographic Information
Book Title
Functionals of Multidimensional Diffusions with Applications to Finance
Authors
Series Title
Bocconi & Springer Series
Series Volume
5
Copyright
2013
Publisher
Springer International Publishing
Copyright Holder
Springer International Publishing Switzerland
eBook ISBN
978-3-319-00747-2
DOI
10.1007/978-3-319-00747-2
Hardcover ISBN
978-3-319-00746-5
Softcover ISBN
978-3-319-03334-1
Series ISSN
2039-1471
Edition Number
1
Number of Pages
XXIII, 425
Topics