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Functionals of Multidimensional Diffusions with Applications to Finance (Record no. 23517)

000 -LEADER
fixed length control field 03330nam a22004335i 4500
003 - CONTROL NUMBER IDENTIFIER
control field OSt
005 - DATE AND TIME OF LATEST TRANSACTION
control field 20140310151453.0
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
050 #4 - LIBRARY OF CONGRESS CALL NUMBER
Classification number HB135-147
082 04 - DEWEY DECIMAL CLASSIFICATION NUMBER
Classification number 519
Edition number 23
264 #1 -
-- Cham :
-- Springer International Publishing :
-- Imprint: Springer,
-- 2013.
912 ## -
-- ZDB-2-SMA
100 1# - MAIN ENTRY--PERSONAL NAME
Personal name Baldeaux, Jan.
Relator term author.
245 10 - IMMEDIATE SOURCE OF ACQUISITION NOTE
Title Functionals of Multidimensional Diffusions with Applications to Finance
Medium [electronic resource] /
Statement of responsibility, etc by Jan Baldeaux, Eckhard Platen.
300 ## - PHYSICAL DESCRIPTION
Extent XXIII, 425 p. 38 illus., 27 illus. in color.
Other physical details online resource.
440 1# - SERIES STATEMENT/ADDED ENTRY--TITLE
Title 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.
Topical term or geographic name as entry element Finance.
Topical term or geographic name as entry element Mathematics.
Topical term or geographic name as entry element Quantitative Finance.
Topical term or geographic name as entry element Financial Economics.
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
856 40 - ELECTRONIC LOCATION AND ACCESS
Uniform Resource Identifier http://dx.doi.org/10.1007/978-3-319-00747-2
942 ## - ADDED ENTRY ELEMENTS (KOHA)
Source of classification or shelving scheme
Item type E-Book
Copies
Price effective from Permanent location Date last seen Not for loan Date acquired Source of classification or shelving scheme Koha item type Damaged status Lost status Withdrawn status Current location Full call number
2014-04-10AUM Main Library2014-04-10 2014-04-10 E-Book   AUM Main Library519
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