Authors:
- 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?
- Includes supplementary material: sn.pub/extras
Part of the book series: Bocconi & Springer Series (BS, volume 5)
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Table of contents (17 chapters)
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Front Matter
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Back Matter
About this book
Reviews
“The textbook at hand focuses on ‘tractable multidimensional models with functionals that have explicit solutions’. … The book also covers in detail numerical techniques such exact and almost exact simulation, transform methods, and quasi-Monte Carlo schemes. Moreover, it contains a self-contained summary of the tools from stochastic calculus that are used in the main body of the text.” (Johannes Muhle-Karbe, zbMATH 1401.60001, 2019)
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)
Authors and Affiliations
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University of Technology Sydney Finance Discipline Group, Haymarket, Australia
Jan Baldeaux, Eckhard Platen
Bibliographic Information
Book Title: Functionals of Multidimensional Diffusions with Applications to Finance
Authors: Jan Baldeaux, Eckhard Platen
Series Title: Bocconi & Springer Series
DOI: https://doi.org/10.1007/978-3-319-00747-2
Publisher: Springer Cham
eBook Packages: Mathematics and Statistics, Mathematics and Statistics (R0)
Copyright Information: Springer International Publishing Switzerland 2013
Hardcover ISBN: 978-3-319-00746-5Published: 21 August 2013
Softcover ISBN: 978-3-319-03334-1Published: 14 August 2015
eBook ISBN: 978-3-319-00747-2Published: 13 August 2013
Series ISSN: 2039-1471
Series E-ISSN: 2039-148X
Edition Number: 1
Number of Pages: XXIII, 425
Topics: Quantitative Finance, Macroeconomics/Monetary Economics//Financial Economics, Applications of Mathematics