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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...

This research monograph provides an introduction to tractable multidimensional diffusion models. It also offers an introduction to the use of Lie symmetry group methods for diffusions, which allows to compute a wide range of functionals.