/LC.GIF&client=easterncarolinaedu)
Functionals of multidimensional diffusions with applications to finance / Jan Baldeaux, Eckard Platen.
| Author/creator | Baldeaux, Jan |
| Other author | Platen, Eckhard. |
| Format | Electronic |
| Publication Info | Cham ; New York : Boconni University Press ; Springer, [2013] |
| Description | xxiii, 425 pages : illustrations (some color) ; 24 cm. |
| Supplemental Content | Full text available from Springer Nature - Springer Mathematics and Statistics eBooks 2013 English International |
| Supplemental Content | Full text available from Springer Books |
| Subjects |
| Series | Bocconi & Springer series ; v. 5 Bocconi & Springer series ; 5. ^A1256515 |
| Contents | A Benchmark Approach to Risk Management -- Functionals of Wiener Processes -- Functionals of Squared Bessel Processes -- Lie Symmetry Group Methods -- Transition Densities via Lie Symmetry Methods -- Exact and Almost Exact Simulation -- Affine Diffusion Processes on the Euclidean Space -- Pricing Using Affine Diffusions -- Solvable Affine Processes on the Euclidean State Space -- An Introduction to Matrix Variate Stochastics -- Wishart Processes -- Monte Carlo and Quasi-Monte Carlo Methods -- Computational Tools -- Credit Risk under the Benchmark Approach -- A. Continuous Stochastic Processes -- B. Time-Homogeneous Scalar Diffusions -- C. Detecting Strict Local Martingales. |
| Bibliography note | Includes bibliographical references (pages 405-413) and index. |
| Access restriction | Available only to authorized users. |
| Technical details | Mode of access: World Wide Web |
| Genre/form | Electronic books. |
| LCCN | 2013945177 |
| ISBN | 9783319007465 (alk. paper) |
| ISBN | 3319007467 (alk. paper) |
Availability
| Library | Location | Call Number | Status | Item Actions |
|---|---|---|---|---|
| Electronic Resources | ✔ Available |