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612-822-4611
Functionals of Multidimensional Diffusions with Applications to Finance

Functionals of Multidimensional Diffusions with Applications to Finance

Paperback

Series: Bocconi & Springer, Book 5

Investing & FinanceGeneral MathematicsProbability & Statistics

ISBN10: 3319033344
ISBN13: 9783319033341
Publisher: Springer Nature
Published: Aug 14 2015
Pages: 425
Weight: 1.38
Height: 0.91 Width: 6.14 Depth: 9.21
Language: English
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.

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Probability & Statistics