Verfügbarkeit: Functionals of multidimensional diffusions with applications to finance

Functionals of multidimensional diffusions with applications to finance:

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Bibliographische Detailangaben
Hauptverfasser:	Baldeaux, Jan (VerfasserIn), Platen, Eckhard 1949- (VerfasserIn)
Format:	Elektronisch E-Book
Sprache:	English
Veröffentlicht:	[Milano] Bocconi Univ. Press. 2013 Cham [u.a.] Springer
Schriftenreihe:	Bocconi & Springer series 5
Schlagworte:	Diffusionsprozess Finanzmathematik
Online-Zugang:	DE-634 DE-91 DE-384 DE-19 DE-703 DE-20 DE-739 Volltext Inhaltsverzeichnis Abstract
Beschreibung:	Literaturverz. S. 405 - 413
Beschreibung:	1 Online-Ressource (XXIII, 425 S.) zahlr.Ill.
ISBN:	9783319007465 9783319007472
DOI:	10.1007/978-3-319-00747-2

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MARC


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Datensatz im Suchindex

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adam_text	FUNCTIONALS OF MULTIDIMENSIONAL DIFFUSIONS WITH APPLICATIONS TO FINANCE / BALDEAUX, JAN : 2013 TABLE OF CONTENTS / INHALTSVERZEICHNIS 1 A BENCHMARK APPROACH TO RISK MANAGEMENT 2 FUNCTIONALS OF WIENER PROCESSES 3 FUNCTIONALS OF SQUARED BESSEL PROCESSES 4 LIE SYMMETRY GROUP METHODS 5 TRANSITION DENSITIES VIA LIE SYMMETRY METHODS 6 EXACT AND ALMOST EXACT SIMULATION 7 AFFINE DIFFUSION PROCESSES ON THE EUCLIDEAN SPACE 8 PRICING USING AFFINE DIFFUSIONS 9 SOLVABLE AFFINE PROCESSES ON THE EUCLIDEAN STATE SPACE 10 AN INTRODUCTION TO MATRIX VARIATE STOCHASTICS 11 WISHART PROCESSES 12 MONTE CARLO AND QUASI-MONTE CARLO METHODS 13 COMPUTATIONAL TOOLS 14 CREDIT RISK UNDER THE BENCHMARK APPROACH A CONTINUOUS STOCHASTIC PROCESSES B TIME-HOMOGENEOUS SCALAR DIFFUSIONS C DETECTING STRICT LOCAL MARTINGALES DIESES SCHRIFTSTUECK WURDE MASCHINELL ERZEUGT. FUNCTIONALS OF MULTIDIMENSIONAL DIFFUSIONS WITH APPLICATIONS TO FINANCE / BALDEAUX, JAN : 2013 ABSTRACT / INHALTSTEXT 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 DIESES SCHRIFTSTUECK WURDE MASCHINELL ERZEUGT.
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author	Baldeaux, Jan Platen, Eckhard 1949-
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spelling	Baldeaux, Jan Verfasser (DE-588)1042804745 aut Functionals of multidimensional diffusions with applications to finance Jan Baldeaux ; Eckhard Platen [Milano] Bocconi Univ. Press. 2013 Cham [u.a.] Springer 1 Online-Ressource (XXIII, 425 S.) zahlr.Ill. txt rdacontent c rdamedia cr rdacarrier Bocconi & Springer series 5 Literaturverz. S. 405 - 413 Diffusionsprozess (DE-588)4274463-5 gnd rswk-swf Finanzmathematik (DE-588)4017195-4 gnd rswk-swf Diffusionsprozess (DE-588)4274463-5 s Finanzmathematik (DE-588)4017195-4 s DE-604 Platen, Eckhard 1949- Verfasser (DE-588)115479201 aut Bocconi & Springer series 5 (DE-604)BV045202696 5 https://doi.org/10.1007/978-3-319-00747-2 Verlag Volltext Springer Fremddatenuebernahme application/pdf http://bvbr.bib-bvb.de:8991/F?func=service&doc_library=BVB01&local_base=BVB01&doc_number=026825801&sequence=000001&line_number=0001&func_code=DB_RECORDS&service_type=MEDIA Inhaltsverzeichnis Springer Fremddatenuebernahme application/pdf http://bvbr.bib-bvb.de:8991/F?func=service&doc_library=BVB01&local_base=BVB01&doc_number=026825801&sequence=000003&line_number=0002&func_code=DB_RECORDS&service_type=MEDIA Abstract
spellingShingle	Baldeaux, Jan Platen, Eckhard 1949- Functionals of multidimensional diffusions with applications to finance Bocconi & Springer series Diffusionsprozess (DE-588)4274463-5 gnd Finanzmathematik (DE-588)4017195-4 gnd
subject_GND	(DE-588)4274463-5 (DE-588)4017195-4
title	Functionals of multidimensional diffusions with applications to finance
title_auth	Functionals of multidimensional diffusions with applications to finance
title_exact_search	Functionals of multidimensional diffusions with applications to finance
title_full	Functionals of multidimensional diffusions with applications to finance Jan Baldeaux ; Eckhard Platen
title_fullStr	Functionals of multidimensional diffusions with applications to finance Jan Baldeaux ; Eckhard Platen
title_full_unstemmed	Functionals of multidimensional diffusions with applications to finance Jan Baldeaux ; Eckhard Platen
title_short	Functionals of multidimensional diffusions with applications to finance
title_sort	functionals of multidimensional diffusions with applications to finance
topic	Diffusionsprozess (DE-588)4274463-5 gnd Finanzmathematik (DE-588)4017195-4 gnd
topic_facet	Diffusionsprozess Finanzmathematik
url	https://doi.org/10.1007/978-3-319-00747-2 http://bvbr.bib-bvb.de:8991/F?func=service&doc_library=BVB01&local_base=BVB01&doc_number=026825801&sequence=000001&line_number=0001&func_code=DB_RECORDS&service_type=MEDIA http://bvbr.bib-bvb.de:8991/F?func=service&doc_library=BVB01&local_base=BVB01&doc_number=026825801&sequence=000003&line_number=0002&func_code=DB_RECORDS&service_type=MEDIA
volume_link	(DE-604)BV045202696
work_keys_str_mv	AT baldeauxjan functionalsofmultidimensionaldiffusionswithapplicationstofinance AT plateneckhard functionalsofmultidimensionaldiffusionswithapplicationstofinance

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