[PDF.73ni] Functionals of Multidimensional Diffusions with Applications to Finance (Bocconi & Springer Series)

Functionals of Multidimensional Diffusions with Applications to Finance (Bocconi & Springer Series)

[PDF.rb10] Functionals of Multidimensional Diffusions with Applications to Finance (Bocconi & Springer Series)

Functionals of Multidimensional Diffusions  Jan Baldeaux, Eckhard Platen epub
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Functionals of Multidimensional Diffusions  Jan Baldeaux, Eckhard Platen summary

 | #5922507 in Books |  2013-08-08 | Original language:English | PDF # 1 |  9.20 x1.20 x6.00l,.0 | File type: PDF | 425 pages

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|| ||From the book reviews:|“This book is a valuable contribution to the literature on applications of stochastic processes to financial mathematics, and can serve as a useful introduction to the various techniques needed in order to derive closed form expre

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 ...

You easily download any file type for your device.Functionals of Multidimensional Diffusions with Applications to Finance (Bocconi & Springer Series)   |  Jan Baldeaux, Eckhard Platen. A good, fresh read, highly recommended.

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