Functionals of Multidimensional Diffusions with Applications to Finance - Bocconi & Springer Series
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17

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Published By Springer International Publishing

9783319007465, 9783319007472

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Solvable Affine Processes on the Euclidean State Space

Functionals of Multidimensional Diffusions with Applications to Finance - Bocconi & Springer Series ◽

10.1007/978-3-319-00747-2_9 ◽

2013 ◽

pp. 219-241

Author(s):

Jan Baldeaux ◽

Eckhard Platen

Keyword(s):

State Space ◽

Affine Processes

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Exact and Almost Exact Simulation

Functionals of Multidimensional Diffusions with Applications to Finance - Bocconi & Springer Series ◽

10.1007/978-3-319-00747-2_6 ◽

2013 ◽

pp. 161-180

Author(s):

Jan Baldeaux ◽

Eckhard Platen

Keyword(s):

Exact Simulation

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Detecting Strict Local Martingales

Functionals of Multidimensional Diffusions with Applications to Finance - Bocconi & Springer Series ◽

10.1007/978-3-319-00747-2_17 ◽

2013 ◽

pp. 397-403

Author(s):

Jan Baldeaux ◽

Eckhard Platen

Keyword(s):

Strict Local Martingales

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Credit Risk Under the Benchmark Approach

Functionals of Multidimensional Diffusions with Applications to Finance - Bocconi & Springer Series ◽

10.1007/978-3-319-00747-2_14 ◽

2013 ◽

pp. 343-362 ◽

Author(s):

Jan Baldeaux ◽

Eckhard Platen

Keyword(s):

Credit Risk ◽

Benchmark Approach

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Computational Tools

Functionals of Multidimensional Diffusions with Applications to Finance - Bocconi & Springer Series ◽

10.1007/978-3-319-00747-2_13 ◽

2013 ◽

pp. 323-341 ◽

Author(s):

Jan Baldeaux ◽

Eckhard Platen

Keyword(s):

Computational Tools

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An Introduction to Matrix Variate Stochastics

Functionals of Multidimensional Diffusions with Applications to Finance - Bocconi & Springer Series ◽

10.1007/978-3-319-00747-2_10 ◽

2013 ◽

pp. 243-259

Author(s):

Jan Baldeaux ◽

Eckhard Platen

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Affine Diffusion Processes on the Euclidean Space

Functionals of Multidimensional Diffusions with Applications to Finance - Bocconi & Springer Series ◽

10.1007/978-3-319-00747-2_7 ◽

2013 ◽

pp. 181-198

Author(s):

Jan Baldeaux ◽

Eckhard Platen

Keyword(s):

Euclidean Space ◽

Diffusion Processes

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Transition Densities via Lie Symmetry Methods

Functionals of Multidimensional Diffusions with Applications to Finance - Bocconi & Springer Series ◽

10.1007/978-3-319-00747-2_5 ◽

2013 ◽

pp. 141-159

Author(s):

Jan Baldeaux ◽

Eckhard Platen

Keyword(s):

Lie Symmetry ◽

Transition Densities

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Continuous Stochastic Processes

Functionals of Multidimensional Diffusions with Applications to Finance - Bocconi & Springer Series ◽

10.1007/978-3-319-00747-2_15 ◽

2013 ◽

pp. 363-387

Author(s):

Jan Baldeaux ◽

Eckhard Platen

Keyword(s):

Stochastic Processes

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Wishart Processes

Functionals of Multidimensional Diffusions with Applications to Finance - Bocconi & Springer Series ◽

10.1007/978-3-319-00747-2_11 ◽

2013 ◽

pp. 261-297

Author(s):

Jan Baldeaux ◽

Eckhard Platen

Keyword(s):

Wishart Processes

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