Overview
- 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)
Buy print copy
About this book
Similar content being viewed by others
Keywords
Table of contents (17 chapters)
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
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