Jan Kallsen's Books

Mathematical Finance

By: Ernst Eberlein,Jan Kallsen

Write a review Read reviews Take a Quiz Solve Book Puzzle

Taking continuous-time stochastic processes allowing for jumps as its starting and focal point, this book provides an accessible introduction to the stochastic calculus and control of semimartingales and explains the basic concepts of Mathematical Finance such as arbitrage theory, hedging, valuation principles, portfolio choice, and term structure modelling. It bridges thegap between introductory texts and the advanced literature in the field. Most textbooks on the subject are limited to diffusion-type models which cannot easily account for sudden price movements. Such abrupt changes, however, can often be observed in real markets. At the same time, purely discontinuous processes lead to a much wider variety of flexible and tractable models. This explains why processes with jumps have become an established tool in the statistics and mathematics of finance. Graduate students, researchers as well as practitioners will benefit from this monograph.

Average ratings

N/A

Write a review

Solve jigsaw puzzle

Age

Page Count

774

Publisher

Springer Nature

Published Date

ISBN 10

3030261069

ISBN 13

9783030261061

Functionals of Multidimensional Diffusions with Applications to Finance

By: Jan Baldeaux,Eckhard Platen

Write a review Read reviews Take a Quiz Solve Book Puzzle

Functionals of Multidimensional Diffusions with Applications to Finance

By: Jan Baldeaux,Eckhard Platen

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 symmetry group methods for diffusions, which allows to compute a wide range of functionals. Besides the well-known methodology on affine diffusions it presents a novel approach to affine processes with applications in finance. Numerical methods, including Monte Carlo and quadrature methods, are discussed together with supporting material on stochastic processes. Applications in finance, for instance, on credit risk and credit valuation adjustment are included in the book. The functionals of multidimensional diffusions analyzed in this book are significant for many areas of application beyond finance. The book is aimed at a wide readership, and develops an intuitive and rigorous understanding of the mathematics underlying the derivation of explicit formulas for functionals of multidimensional diffusions.

Average ratings

N/A

Write a review

Solve jigsaw puzzle

Age

Page Count

432

Publisher

Springer Science & Business Media

Published Date

ISBN 10

3319007475

ISBN 13

9783319007472

Mathematical Finance

By: Ernst Eberlein,Jan Kallsen

Write a review Read reviews Take a Quiz Solve Book Puzzle

Mathematical Finance

By: Ernst Eberlein,Jan Kallsen

Average ratings

N/A

Write a review

Solve jigsaw puzzle

Age

Page Count

774

Publisher

Springer Nature

Published Date

ISBN 10

3030261069

ISBN 13

9783030261061

Book's by Jan Kallsen

Mathematical Finance

Mathematical Finance

Functionals of Multidimensional Diffusions with Applications to Finance

Functionals of Multidimensional Diffusions with Applications to Finance

Mathematical Finance

Mathematical Finance

Username

Password

Username

Password

Password again

Birthday

Email