Holdings: Functionals of multidimensional diffusions with applications to finance

Functionals of multidimensional diffusions with applications to finance:

Saved in:

Bibliographic Details
Main Authors:	Baldeaux, Jan (Author), Platen, Eckhard 1949- (Author)
Format:	Electronic eBook
Language:	English
Published:	[Milano] Bocconi Univ. Press. 2013 Cham [u.a.] Springer
Series:	Bocconi & Springer series 5
Subjects:	Diffusionsprozess Finanzmathematik
Online Access:	DE-634 DE-91 DE-384 DE-19 DE-703 DE-20 DE-739 Volltext Inhaltsverzeichnis Abstract
Item Description:	Literaturverz. S. 405 - 413
Physical Description:	1 Online-Ressource (XXIII, 425 S.) zahlr.Ill.
ISBN:	9783319007465 9783319007472
DOI:	10.1007/978-3-319-00747-2

Staff View

MARC


LEADER	00000nam a2200000 cb4500
001	BV041377769
003	DE-604
005	20180921
007	cr\|uuu---uuuuu
008	131024s2013 xx a\|\|\| o\|\|\|\| 00\|\|\| eng d
020			\|a 9783319007465 \|c Druckausg. \|9 978-3-319-00746-5
020			\|a 9783319007472 \|c eBook \|9 978-3-319-00747-2
024	7		\|a 10.1007/978-3-319-00747-2 \|2 doi
035			\|a (OCoLC)874372117
035			\|a (DE-599)BVBBV041377769
040			\|a DE-604 \|b ger \|e rakwb
041	0		\|a eng
049			\|a DE-634 \|a DE-20 \|a DE-703 \|a DE-19 \|a DE-91 \|a DE-739 \|a DE-384 \|a DE-83
084			\|a MAT 000 \|2 stub
100	1		\|a Baldeaux, Jan \|e Verfasser \|0 (DE-588)1042804745 \|4 aut
245	1	0	\|a Functionals of multidimensional diffusions with applications to finance \|c Jan Baldeaux ; Eckhard Platen
264		1	\|a [Milano] \|b Bocconi Univ. Press. \|c 2013
264		1	\|a Cham [u.a.] \|b Springer
300			\|a 1 Online-Ressource (XXIII, 425 S.) \|b zahlr.Ill.
336			\|b txt \|2 rdacontent
337			\|b c \|2 rdamedia
338			\|b cr \|2 rdacarrier
490	1		\|a Bocconi & Springer series \|v 5
500			\|a Literaturverz. S. 405 - 413
650	0	7	\|a Diffusionsprozess \|0 (DE-588)4274463-5 \|2 gnd \|9 rswk-swf
650	0	7	\|a Finanzmathematik \|0 (DE-588)4017195-4 \|2 gnd \|9 rswk-swf
689	0	0	\|a Diffusionsprozess \|0 (DE-588)4274463-5 \|D s
689	0	1	\|a Finanzmathematik \|0 (DE-588)4017195-4 \|D s
689	0		\|5 DE-604
700	1		\|a Platen, Eckhard \|d 1949- \|e Verfasser \|0 (DE-588)115479201 \|4 aut
830		0	\|a Bocconi & Springer series \|v 5 \|w (DE-604)BV045202696 \|9 5
856	4	0	\|u https://doi.org/10.1007/978-3-319-00747-2 \|x Verlag \|3 Volltext
856	4	2	\|m Springer Fremddatenuebernahme \|q application/pdf \|u 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 \|3 Inhaltsverzeichnis
856	4	2	\|m Springer Fremddatenuebernahme \|q application/pdf \|u 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 \|3 Abstract
912			\|a ZDB-2-SMA
943	1		\|a oai:aleph.bib-bvb.de:BVB01-026825801
966	e		\|u https://doi.org/10.1007/978-3-319-00747-2 \|l DE-634 \|p ZDB-2-SMA \|x Verlag \|3 Volltext
966	e		\|u https://doi.org/10.1007/978-3-319-00747-2 \|l DE-91 \|p ZDB-2-SMA \|x Verlag \|3 Volltext
966	e		\|u https://doi.org/10.1007/978-3-319-00747-2 \|l DE-384 \|p ZDB-2-SMA \|x Verlag \|3 Volltext
966	e		\|u https://doi.org/10.1007/978-3-319-00747-2 \|l DE-19 \|p ZDB-2-SMA \|x Verlag \|3 Volltext
966	e		\|u https://doi.org/10.1007/978-3-319-00747-2 \|l DE-703 \|p ZDB-2-SMA \|x Verlag \|3 Volltext
966	e		\|u https://doi.org/10.1007/978-3-319-00747-2 \|l DE-20 \|p ZDB-2-SMA \|x Verlag \|3 Volltext
966	e		\|u https://doi.org/10.1007/978-3-319-00747-2 \|l DE-739 \|p ZDB-2-SMA \|x Verlag \|3 Volltext

Record in the Search Index

_version_	1825494926156103680
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.
any_adam_object	1
author	Baldeaux, Jan Platen, Eckhard 1949-
author_GND	(DE-588)1042804745 (DE-588)115479201
author_facet	Baldeaux, Jan Platen, Eckhard 1949-
author_role	aut aut
author_sort	Baldeaux, Jan
author_variant	j b jb e p ep
building	Verbundindex
bvnumber	BV041377769
classification_tum	MAT 000
collection	ZDB-2-SMA
ctrlnum	(OCoLC)874372117 (DE-599)BVBBV041377769
discipline	Mathematik
doi_str_mv	10.1007/978-3-319-00747-2
format	Electronic eBook
fullrecord	<?xml version="1.0" encoding="UTF-8"?><collection xmlns="http://www.loc.gov/MARC21/slim"><record><leader>00000nam a2200000 cb4500</leader><controlfield tag="001">BV041377769</controlfield><controlfield tag="003">DE-604</controlfield><controlfield tag="005">20180921</controlfield><controlfield tag="007">cr\|uuu---uuuuu</controlfield><controlfield tag="008">131024s2013 xx a\|\|\| o\|\|\|\| 00\|\|\| eng d</controlfield><datafield tag="020" ind1=" " ind2=" "><subfield code="a">9783319007465</subfield><subfield code="c">Druckausg.</subfield><subfield code="9">978-3-319-00746-5</subfield></datafield><datafield tag="020" ind1=" " ind2=" "><subfield code="a">9783319007472</subfield><subfield code="c">eBook</subfield><subfield code="9">978-3-319-00747-2</subfield></datafield><datafield tag="024" ind1="7" ind2=" "><subfield code="a">10.1007/978-3-319-00747-2</subfield><subfield code="2">doi</subfield></datafield><datafield tag="035" ind1=" " ind2=" "><subfield code="a">(OCoLC)874372117</subfield></datafield><datafield tag="035" ind1=" " ind2=" "><subfield code="a">(DE-599)BVBBV041377769</subfield></datafield><datafield tag="040" ind1=" " ind2=" "><subfield code="a">DE-604</subfield><subfield code="b">ger</subfield><subfield code="e">rakwb</subfield></datafield><datafield tag="041" ind1="0" ind2=" "><subfield code="a">eng</subfield></datafield><datafield tag="049" ind1=" " ind2=" "><subfield code="a">DE-634</subfield><subfield code="a">DE-20</subfield><subfield code="a">DE-703</subfield><subfield code="a">DE-19</subfield><subfield code="a">DE-91</subfield><subfield code="a">DE-739</subfield><subfield code="a">DE-384</subfield><subfield code="a">DE-83</subfield></datafield><datafield tag="084" ind1=" " ind2=" "><subfield code="a">MAT 000</subfield><subfield code="2">stub</subfield></datafield><datafield tag="100" ind1="1" ind2=" "><subfield code="a">Baldeaux, Jan</subfield><subfield code="e">Verfasser</subfield><subfield code="0">(DE-588)1042804745</subfield><subfield code="4">aut</subfield></datafield><datafield tag="245" ind1="1" ind2="0"><subfield code="a">Functionals of multidimensional diffusions with applications to finance</subfield><subfield code="c">Jan Baldeaux ; Eckhard Platen</subfield></datafield><datafield tag="264" ind1=" " ind2="1"><subfield code="a">[Milano]</subfield><subfield code="b">Bocconi Univ. Press.</subfield><subfield code="c">2013</subfield></datafield><datafield tag="264" ind1=" " ind2="1"><subfield code="a">Cham [u.a.]</subfield><subfield code="b">Springer</subfield></datafield><datafield tag="300" ind1=" " ind2=" "><subfield code="a">1 Online-Ressource (XXIII, 425 S.)</subfield><subfield code="b">zahlr.Ill.</subfield></datafield><datafield tag="336" ind1=" " ind2=" "><subfield code="b">txt</subfield><subfield code="2">rdacontent</subfield></datafield><datafield tag="337" ind1=" " ind2=" "><subfield code="b">c</subfield><subfield code="2">rdamedia</subfield></datafield><datafield tag="338" ind1=" " ind2=" "><subfield code="b">cr</subfield><subfield code="2">rdacarrier</subfield></datafield><datafield tag="490" ind1="1" ind2=" "><subfield code="a">Bocconi & Springer series</subfield><subfield code="v">5</subfield></datafield><datafield tag="500" ind1=" " ind2=" "><subfield code="a">Literaturverz. S. 405 - 413</subfield></datafield><datafield tag="650" ind1="0" ind2="7"><subfield code="a">Diffusionsprozess</subfield><subfield code="0">(DE-588)4274463-5</subfield><subfield code="2">gnd</subfield><subfield code="9">rswk-swf</subfield></datafield><datafield tag="650" ind1="0" ind2="7"><subfield code="a">Finanzmathematik</subfield><subfield code="0">(DE-588)4017195-4</subfield><subfield code="2">gnd</subfield><subfield code="9">rswk-swf</subfield></datafield><datafield tag="689" ind1="0" ind2="0"><subfield code="a">Diffusionsprozess</subfield><subfield code="0">(DE-588)4274463-5</subfield><subfield code="D">s</subfield></datafield><datafield tag="689" ind1="0" ind2="1"><subfield code="a">Finanzmathematik</subfield><subfield code="0">(DE-588)4017195-4</subfield><subfield code="D">s</subfield></datafield><datafield tag="689" ind1="0" ind2=" "><subfield code="5">DE-604</subfield></datafield><datafield tag="700" ind1="1" ind2=" "><subfield code="a">Platen, Eckhard</subfield><subfield code="d">1949-</subfield><subfield code="e">Verfasser</subfield><subfield code="0">(DE-588)115479201</subfield><subfield code="4">aut</subfield></datafield><datafield tag="830" ind1=" " ind2="0"><subfield code="a">Bocconi & Springer series</subfield><subfield code="v">5</subfield><subfield code="w">(DE-604)BV045202696</subfield><subfield code="9">5</subfield></datafield><datafield tag="856" ind1="4" ind2="0"><subfield code="u">https://doi.org/10.1007/978-3-319-00747-2</subfield><subfield code="x">Verlag</subfield><subfield code="3">Volltext</subfield></datafield><datafield tag="856" ind1="4" ind2="2"><subfield code="m">Springer Fremddatenuebernahme</subfield><subfield code="q">application/pdf</subfield><subfield code="u">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</subfield><subfield code="3">Inhaltsverzeichnis</subfield></datafield><datafield tag="856" ind1="4" ind2="2"><subfield code="m">Springer Fremddatenuebernahme</subfield><subfield code="q">application/pdf</subfield><subfield code="u">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</subfield><subfield code="3">Abstract</subfield></datafield><datafield tag="912" ind1=" " ind2=" "><subfield code="a">ZDB-2-SMA</subfield></datafield><datafield tag="943" ind1="1" ind2=" "><subfield code="a">oai:aleph.bib-bvb.de:BVB01-026825801</subfield></datafield><datafield tag="966" ind1="e" ind2=" "><subfield code="u">https://doi.org/10.1007/978-3-319-00747-2</subfield><subfield code="l">DE-634</subfield><subfield code="p">ZDB-2-SMA</subfield><subfield code="x">Verlag</subfield><subfield code="3">Volltext</subfield></datafield><datafield tag="966" ind1="e" ind2=" "><subfield code="u">https://doi.org/10.1007/978-3-319-00747-2</subfield><subfield code="l">DE-91</subfield><subfield code="p">ZDB-2-SMA</subfield><subfield code="x">Verlag</subfield><subfield code="3">Volltext</subfield></datafield><datafield tag="966" ind1="e" ind2=" "><subfield code="u">https://doi.org/10.1007/978-3-319-00747-2</subfield><subfield code="l">DE-384</subfield><subfield code="p">ZDB-2-SMA</subfield><subfield code="x">Verlag</subfield><subfield code="3">Volltext</subfield></datafield><datafield tag="966" ind1="e" ind2=" "><subfield code="u">https://doi.org/10.1007/978-3-319-00747-2</subfield><subfield code="l">DE-19</subfield><subfield code="p">ZDB-2-SMA</subfield><subfield code="x">Verlag</subfield><subfield code="3">Volltext</subfield></datafield><datafield tag="966" ind1="e" ind2=" "><subfield code="u">https://doi.org/10.1007/978-3-319-00747-2</subfield><subfield code="l">DE-703</subfield><subfield code="p">ZDB-2-SMA</subfield><subfield code="x">Verlag</subfield><subfield code="3">Volltext</subfield></datafield><datafield tag="966" ind1="e" ind2=" "><subfield code="u">https://doi.org/10.1007/978-3-319-00747-2</subfield><subfield code="l">DE-20</subfield><subfield code="p">ZDB-2-SMA</subfield><subfield code="x">Verlag</subfield><subfield code="3">Volltext</subfield></datafield><datafield tag="966" ind1="e" ind2=" "><subfield code="u">https://doi.org/10.1007/978-3-319-00747-2</subfield><subfield code="l">DE-739</subfield><subfield code="p">ZDB-2-SMA</subfield><subfield code="x">Verlag</subfield><subfield code="3">Volltext</subfield></datafield></record></collection>
id	DE-604.BV041377769
illustrated	Illustrated
indexdate	2025-03-02T15:00:25Z
institution	BVB
isbn	9783319007465 9783319007472
language	English
oai_aleph_id	oai:aleph.bib-bvb.de:BVB01-026825801
oclc_num	874372117
open_access_boolean
owner	DE-634 DE-20 DE-703 DE-19 DE-BY-UBM DE-91 DE-BY-TUM DE-739 DE-384 DE-83
owner_facet	DE-634 DE-20 DE-703 DE-19 DE-BY-UBM DE-91 DE-BY-TUM DE-739 DE-384 DE-83
physical	1 Online-Ressource (XXIII, 425 S.) zahlr.Ill.
psigel	ZDB-2-SMA
publishDate	2013
publishDateSearch	2013
publishDateSort	2013
publisher	Bocconi Univ. Press. Springer
record_format	marc
series	Bocconi & Springer series
series2	Bocconi & Springer series
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

Holdings

There is no print copy available.

Interlibrary loan Place Request Caution: Not in THWS collection! Get full text

MARC

Record in the Search Index

There is no print copy available.

Similar Items