Functionals of multidimensional diffusions with applications to finance
type: Item
instance of: scholarly article
title: Functionals of multidimensional diffusions with applications to finance
zbMATH Open document ID: 1401.60001
DOI: 10.1007/978-3-319-00747-2
author: Jan Baldeaux
author: Eckhard Platen
published in: Bocconi \& Springer Series
publication date: 2013-06-13T00:00:00Z
review text: 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.
reviewed by: Johannes Muhle-Karbe
Mathematics Subject Classification ID: 60-01
Mathematics Subject Classification ID: 60J60
Mathematics Subject Classification ID: 60J70
Mathematics Subject Classification ID: 91Gxx
zbMATH DE Number: 6175512
zbMATH Keywords: multidimensional diffusions
zbMATH Keywords: functionals
zbMATH Keywords: closed-form
zbMATH Keywords: numerical methods
zbMATH Keywords: applications to finance
describes a project that uses: AS 275
MaRDI profile type: Publication
full work available at URL: https://doi.org/10.1007/978-3-319-00747-2
OpenAlex ID: W260602344
description: scientific article; zbMATH DE number 6175512