Functionals of Multidimensional Diffusions with Applications to Finance (Record no. 96472)
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000 -LEADER | |
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fixed length control field | 03558nam a22004815i 4500 |
001 - CONTROL NUMBER | |
control field | 978-3-319-00747-2 |
003 - CONTROL NUMBER IDENTIFIER | |
control field | DE-He213 |
005 - DATE AND TIME OF LATEST TRANSACTION | |
control field | 20140220082839.0 |
007 - PHYSICAL DESCRIPTION FIXED FIELD--GENERAL INFORMATION | |
fixed length control field | cr nn 008mamaa |
008 - FIXED-LENGTH DATA ELEMENTS--GENERAL INFORMATION | |
fixed length control field | 130807s2013 gw | s |||| 0|eng d |
020 ## - INTERNATIONAL STANDARD BOOK NUMBER | |
International Standard Book Number | 9783319007472 |
-- | 978-3-319-00747-2 |
024 7# - OTHER STANDARD IDENTIFIER | |
Standard number or code | 10.1007/978-3-319-00747-2 |
Source of number or code | doi |
050 #4 - LIBRARY OF CONGRESS CALL NUMBER | |
Classification number | HB135-147 |
072 #7 - SUBJECT CATEGORY CODE | |
Subject category code | KF |
Source | bicssc |
072 #7 - SUBJECT CATEGORY CODE | |
Subject category code | MAT003000 |
Source | bisacsh |
072 #7 - SUBJECT CATEGORY CODE | |
Subject category code | BUS027000 |
Source | bisacsh |
082 04 - DEWEY DECIMAL CLASSIFICATION NUMBER | |
Classification number | 519 |
Edition number | 23 |
100 1# - MAIN ENTRY--PERSONAL NAME | |
Personal name | Baldeaux, Jan. |
Relator term | author. |
245 10 - TITLE STATEMENT | |
Title | Functionals of Multidimensional Diffusions with Applications to Finance |
Medium | [electronic resource] / |
Statement of responsibility, etc | by Jan Baldeaux, Eckhard Platen. |
264 #1 - | |
-- | Cham : |
-- | Springer International Publishing : |
-- | Imprint: Springer, |
-- | 2013. |
300 ## - PHYSICAL DESCRIPTION | |
Extent | XXIII, 425 p. 38 illus., 27 illus. in color. |
Other physical details | online resource. |
336 ## - | |
-- | text |
-- | txt |
-- | rdacontent |
337 ## - | |
-- | computer |
-- | c |
-- | rdamedia |
338 ## - | |
-- | online resource |
-- | cr |
-- | rdacarrier |
347 ## - | |
-- | text file |
-- | |
-- | rda |
490 1# - SERIES STATEMENT | |
Series statement | Bocconi & Springer Series, Mathematics, Statistics, Finance and Economics, |
International Standard Serial Number | 2039-1471 ; |
Volume number/sequential designation | 5 |
505 0# - FORMATTED CONTENTS NOTE | |
Formatted contents note | 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. |
520 ## - SUMMARY, ETC. | |
Summary, etc | 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. |
650 #0 - SUBJECT ADDED ENTRY--TOPICAL TERM | |
Topical term or geographic name as entry element | Mathematics. |
650 #0 - SUBJECT ADDED ENTRY--TOPICAL TERM | |
Topical term or geographic name as entry element | Finance. |
650 14 - SUBJECT ADDED ENTRY--TOPICAL TERM | |
Topical term or geographic name as entry element | Mathematics. |
650 24 - SUBJECT ADDED ENTRY--TOPICAL TERM | |
Topical term or geographic name as entry element | Quantitative Finance. |
650 24 - SUBJECT ADDED ENTRY--TOPICAL TERM | |
Topical term or geographic name as entry element | Financial Economics. |
650 24 - SUBJECT ADDED ENTRY--TOPICAL TERM | |
Topical term or geographic name as entry element | Applications of Mathematics. |
700 1# - ADDED ENTRY--PERSONAL NAME | |
Personal name | Platen, Eckhard. |
Relator term | author. |
710 2# - ADDED ENTRY--CORPORATE NAME | |
Corporate name or jurisdiction name as entry element | SpringerLink (Online service) |
773 0# - HOST ITEM ENTRY | |
Title | Springer eBooks |
776 08 - ADDITIONAL PHYSICAL FORM ENTRY | |
Display text | Printed edition: |
International Standard Book Number | 9783319007465 |
830 #0 - SERIES ADDED ENTRY--UNIFORM TITLE | |
Uniform title | Bocconi & Springer Series, Mathematics, Statistics, Finance and Economics, |
-- | 2039-1471 ; |
Volume number/sequential designation | 5 |
856 40 - ELECTRONIC LOCATION AND ACCESS | |
Uniform Resource Identifier | http://dx.doi.org/10.1007/978-3-319-00747-2 |
912 ## - | |
-- | ZDB-2-SMA |
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