[Bocconi & Springer Series] Functionals of Multidimensional Diffusions with Applications to Finance Volume 5 || Lie Symmetry Group Methods
✍ Scribed by Baldeaux, Jan; Platen, Eckhard
- Book ID
- 120788649
- Publisher
- Springer International Publishing
- Year
- 2013
- Tongue
- German
- Weight
- 415 KB
- Edition
- 2013
- Category
- Article
- ISBN
- 3319007475
No coin nor oath required. For personal study only.
✦ Synopsis
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.