Functionals of Multidimensional Diffusions with Applications to Finance |
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| Author:
| Baldeaux, Jan
Platen, Eckhard |
| Series title: | Bocconi and Springer Ser. |
| ISBN: | 978-3-319-03334-1 |
| Publication Date: | Aug 2015 |
| Publisher: | Springer International Publishing AG
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| Imprint: | Springer |
| Book Format: | Paperback |
| List Price: | USD $119.99USD $54.99 |
Book Description:
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This research monograph provides an introduction to tractable multidimensional diffusion models. It also offers an introduction to the use of Lie symmetry group methods for diffusions, which allows to compute a wide range of functionals.
This research monograph provides an introduction to tractable multidimensional diffusion models. It also offers an introduction to the use of Lie symmetry group methods for diffusions, which allows to compute a wide range of functionals.