LIBROS DEL AUTOR: jan baldeaux

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  • Functionals of Multidimensional Diffusions with Applications to Finance
    Eckhard Platen / Jan Baldeaux
    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 function...
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