Functionals of multidimensional diffusions with applications to finance / Jan Baldeaux, Eckard Platen
Type de document : Livre numériqueCollection : Bocconi & Springer series, 5Langue : anglais.Éditeur : Cham : Springer, 2013ISBN: 3319007475.ISSN: 2039-1471.Sujet MSC : 60-01, Introductory exposition (textbooks, tutorial papers, etc.) pertaining to probability theory60J60, Probability theory and stochastic processes - Markov processes, Diffusion processes
60J70, Probability theory and stochastic processes - Markov processes, Applications of Brownian motions and diffusion theory
91Gxx, Game theory, economics, finance, and other social and behavioral sciences - Actuarial science and mathematical finance
91G60, Actuarial science and mathematical finance, Numerical methods (including Monte Carlo methods)En-ligne : Springerlink | MSN | zbMath
The textbook at hand focuses on “tractable multidimensional models with functionals that have explicit solutions”. Particular emphasis is placed on transformations of squares of Brownian motion, such as multidimensional Bessel, square-root, or affine processes. These models are applied to a variety of financial problems, with a particular emphasis on the “benchmark approach” pioneered by the second author. 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. (zbMath)
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