Functionals of multidimensional diffusions with applications to finance
The textbook at hand focuses on ``tractable multidimensional models with functionals that have explicit solutions''. Particular emphasis is placed on transformations of squares of Brownian motion, such as multidimensional Bessel, square-root, or affine processes. These models are applied to a variety of financial problems, with a particular emphasis on the ``benchmark approach'' pioneered by the second author. The book also covers in detail numerical techniques such exact and almost exact simulation, transform methods, and quasi-Monte Carlo schemes. Moreover, it contains a self-contained summary of the tools from stochastic calculus that are used in the main body of the text.
scientific article; zbMATH DE number 6175512