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Functionals of multidimensional diffusions with applications to finance /

This research monograph provides an introduction to tractable multidimensional diffusion models, where transition densities, Laplace transforms, Fourier transforms, fundamental solutions or functionals can be obtained in explicit form. The book also provides an introduction to the use of Lie symmetr...

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Bibliographic Details
Main Authors: Baldeaux, Jan, (Author), Platen, Eckhard, (Author)
Corporate Author: SpringerLink (Online service)
Format: Online Book
Published: Cham : Springer, 2013.
Series:Bocconi & Springer series ; v. 5.
Online Access:Online version
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