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Functionals of multidimensional diffusions with applications to finance / / Jan Baldeaux, Eckhard Platen
| Functionals of multidimensional diffusions with applications to finance / / Jan Baldeaux, Eckhard Platen |
| Autore | Baldeaux Jan |
| Edizione | [1st ed. 2013.] |
| Pubbl/distr/stampa | Cham, Switzerland : , : Springer, , 2013 |
| Descrizione fisica | 1 online resource (xxiii, 425 pages) : illustrations (some color) |
| Disciplina | 519.233 |
| Collana | Bocconi & Springer Series, Mathematics, Statistics, Finance and Economics |
| Soggetto topico |
Diffusion processes
Business mathematics |
| ISBN | 3-319-00747-5 |
| Formato | Materiale a stampa  |
| Livello bibliografico | Monografia |
| Lingua di pubblicazione | eng |
| Nota di contenuto | 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. |
| Record Nr. | UNINA-9910438145603321 |
Baldeaux Jan
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| Cham, Switzerland : , : Springer, , 2013 | ||
| Materiale a stampa | ||
| Lo trovi qui: Univ. Federico II | ||
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Numerical Solution of Stochastic Differential Equations [[electronic resource] /] / by Peter E. Kloeden, Eckhard Platen
| Numerical Solution of Stochastic Differential Equations [[electronic resource] /] / by Peter E. Kloeden, Eckhard Platen |
| Autore | Kloeden Peter E |
| Edizione | [1st ed. 1992.] |
| Pubbl/distr/stampa | Berlin, Heidelberg : , : Springer Berlin Heidelberg : , : Imprint : Springer, , 1992 |
| Descrizione fisica | 1 online resource (XXXVI, 636 p.) |
| Disciplina | 519.2 |
| Collana | Stochastic Modelling and Applied Probability |
| Soggetto topico |
Probabilities
Mathematical analysis Analysis (Mathematics) Numerical analysis Statistics Mathematical physics Applied mathematics Engineering mathematics Probability Theory and Stochastic Processes Analysis Numerical Analysis Statistics for Business, Management, Economics, Finance, Insurance Theoretical, Mathematical and Computational Physics Mathematical and Computational Engineering |
| ISBN | 3-662-12616-8 |
| Formato | Materiale a stampa |
| Livello bibliografico | Monografia |
| Lingua di pubblicazione | eng |
| Nota di contenuto | 1. Probability and Statistics -- 2. Probability and Stochastic Processes -- 3. Ito Stochastic Calculus -- 4. Stochastic Differential Equations -- 5. Stochastic Taylor Expansions -- 6. Modelling with Stochastic Differential Equations -- 7. Applications of Stochastic Differential Equations -- 8. Time Discrete Approximation of Deterministic Differential Equations -- 9. Introduction to Stochastic Time Discrete Approximation -- 10. Strong Taylor Approximations -- 11. Explicit Strong Approximations -- 12. Implicit Strong Approximations -- 13. Selected Applications of Strong Approximations -- 14. Weak Taylor Approximations -- 15. Explicit and Implicit Weak Approximations -- 16. Variance Reduction Methods -- 17. Selected Applications of Weak Approximations -- Solutions of Exercises -- Bibliographical Notes. |
| Record Nr. | UNINA-9910480370203321 |
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Kloeden Peter E
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||
| Berlin, Heidelberg : , : Springer Berlin Heidelberg : , : Imprint : Springer, , 1992 | ||
| Materiale a stampa | ||
| Lo trovi qui: Univ. Federico II | ||
| ||
Numerical Solution of Stochastic Differential Equations [[electronic resource] /] / by Peter E. Kloeden, Eckhard Platen
| Numerical Solution of Stochastic Differential Equations [[electronic resource] /] / by Peter E. Kloeden, Eckhard Platen |
| Autore | Kloeden Peter E |
| Edizione | [1st ed. 1992.] |
| Pubbl/distr/stampa | Berlin, Heidelberg : , : Springer Berlin Heidelberg : , : Imprint : Springer, , 1992 |
| Descrizione fisica | 1 online resource (XXXVI, 636 p.) |
| Disciplina | 519.2 |
| Collana | Stochastic Modelling and Applied Probability |
| Soggetto topico |
Probabilities
Mathematical analysis Analysis (Mathematics) Numerical analysis Statistics Mathematical physics Applied mathematics Engineering mathematics Probability Theory and Stochastic Processes Analysis Numerical Analysis Statistics for Business, Management, Economics, Finance, Insurance Theoretical, Mathematical and Computational Physics Mathematical and Computational Engineering |
| ISBN | 3-662-12616-8 |
| Formato | Materiale a stampa |
| Livello bibliografico | Monografia |
| Lingua di pubblicazione | eng |
| Nota di contenuto | 1. Probability and Statistics -- 2. Probability and Stochastic Processes -- 3. Ito Stochastic Calculus -- 4. Stochastic Differential Equations -- 5. Stochastic Taylor Expansions -- 6. Modelling with Stochastic Differential Equations -- 7. Applications of Stochastic Differential Equations -- 8. Time Discrete Approximation of Deterministic Differential Equations -- 9. Introduction to Stochastic Time Discrete Approximation -- 10. Strong Taylor Approximations -- 11. Explicit Strong Approximations -- 12. Implicit Strong Approximations -- 13. Selected Applications of Strong Approximations -- 14. Weak Taylor Approximations -- 15. Explicit and Implicit Weak Approximations -- 16. Variance Reduction Methods -- 17. Selected Applications of Weak Approximations -- Solutions of Exercises -- Bibliographical Notes. |
| Record Nr. | UNINA-9910792492803321 |
|
Kloeden Peter E
|
||
| Berlin, Heidelberg : , : Springer Berlin Heidelberg : , : Imprint : Springer, , 1992 | ||
| Materiale a stampa | ||
| Lo trovi qui: Univ. Federico II | ||
| ||
Numerical Solution of Stochastic Differential Equations [[electronic resource] /] / by Peter E. Kloeden, Eckhard Platen
| Numerical Solution of Stochastic Differential Equations [[electronic resource] /] / by Peter E. Kloeden, Eckhard Platen |
| Autore | Kloeden Peter E |
| Edizione | [1st ed. 1992.] |
| Pubbl/distr/stampa | Berlin, Heidelberg : , : Springer Berlin Heidelberg : , : Imprint : Springer, , 1992 |
| Descrizione fisica | 1 online resource (XXXVI, 636 p.) |
| Disciplina | 519.2 |
| Collana | Stochastic Modelling and Applied Probability |
| Soggetto topico |
Probabilities
Mathematical analysis Analysis (Mathematics) Numerical analysis Statistics Mathematical physics Applied mathematics Engineering mathematics Probability Theory and Stochastic Processes Analysis Numerical Analysis Statistics for Business, Management, Economics, Finance, Insurance Theoretical, Mathematical and Computational Physics Mathematical and Computational Engineering |
| ISBN | 3-662-12616-8 |
| Formato | Materiale a stampa |
| Livello bibliografico | Monografia |
| Lingua di pubblicazione | eng |
| Nota di contenuto | 1. Probability and Statistics -- 2. Probability and Stochastic Processes -- 3. Ito Stochastic Calculus -- 4. Stochastic Differential Equations -- 5. Stochastic Taylor Expansions -- 6. Modelling with Stochastic Differential Equations -- 7. Applications of Stochastic Differential Equations -- 8. Time Discrete Approximation of Deterministic Differential Equations -- 9. Introduction to Stochastic Time Discrete Approximation -- 10. Strong Taylor Approximations -- 11. Explicit Strong Approximations -- 12. Implicit Strong Approximations -- 13. Selected Applications of Strong Approximations -- 14. Weak Taylor Approximations -- 15. Explicit and Implicit Weak Approximations -- 16. Variance Reduction Methods -- 17. Selected Applications of Weak Approximations -- Solutions of Exercises -- Bibliographical Notes. |
| Record Nr. | UNINA-9910817423303321 |
|
Kloeden Peter E
|
||
| Berlin, Heidelberg : , : Springer Berlin Heidelberg : , : Imprint : Springer, , 1992 | ||
| Materiale a stampa | ||
| Lo trovi qui: Univ. Federico II | ||
| ||