Functionals of Multidimensional Diffusions with Applications to Finance

1. A Benchmark Approach to Risk Management
Jan Baldeaux, Eckhard Platen

2. Functionals of Wiener Processes
Jan Baldeaux, Eckhard Platen

3. Functionals of Squared Bessel Processes
Jan Baldeaux, Eckhard Platen

4. Lie Symmetry Group Methods
Jan Baldeaux, Eckhard Platen

5. Transition Densities via Lie Symmetry Methods
Jan Baldeaux, Eckhard Platen

6. Exact and Almost Exact Simulation
Jan Baldeaux, Eckhard Platen

7. Affine Diffusion Processes on the Euclidean Space
Jan Baldeaux, Eckhard Platen

8. Pricing Using Affine Diffusions
Jan Baldeaux, Eckhard Platen

9. Solvable Affine Processes on the Euclidean State Space
Jan Baldeaux, Eckhard Platen

10. An Introduction to Matrix Variate Stochastics
Jan Baldeaux, Eckhard Platen

11. Wishart Processes
Jan Baldeaux, Eckhard Platen

12. Monte Carlo and Quasi-Monte Carlo Methods
Jan Baldeaux, Eckhard Platen

13. Computational Tools
Jan Baldeaux, Eckhard Platen

14. Credit Risk Under the Benchmark Approach
Jan Baldeaux, Eckhard Platen

15. Continuous Stochastic Processes
Jan Baldeaux, Eckhard Platen

16. Time-Homogeneous Scalar Diffusions
Jan Baldeaux, Eckhard Platen

17. Detecting Strict Local Martingales
Jan Baldeaux, Eckhard Platen

Avainsanat: Mathematics, Quantitative Finance, Financial Economics, Applications of Mathematics