Functionals of Multidimensional Diffusions with Applications to Finance

“The textbook at hand focuses on ‘tractable multidimensional models with functionals that have explicit solutions’. … The book also covers in detail numerical techniques such exact and almost exact simulation, transform methods, and quasi-Monte Carlo schemes. Moreover, it contains a self-contained summary of the tools from stochastic calculus that are used in the main body of the text.” (Johannes Muhle-Karbe, zbMATH 1401.60001, 2019)

From the book reviews:

“This book is a valuable contribution to the literature on applications of stochastic processes to financial mathematics, and can serve as a useful introduction to the various techniques needed in order to derive closed form expressions for a variety of functionals of multidimensional diffusions arising in financial models but also as a useful reference book, in which researchers and practitioners may retrieve various useful results.” (Athanasios Yannacopoulos, Mathematical Reviews, March, 2015)