Affine Diffusions and Related Processes: Simulation, Theory and Applications Paperback / softback
by Aurelien Alfonsi
Part of the Bocconi & Springer Series series
Paperback / softback
Description
This book gives an overview of affine diffusions, from Ornstein-Uhlenbeck processes to Wishart processes and it considers some related diffusions such as Wright-Fisher processes.
It focuses on different simulation schemes for these processes, especially second-order schemes for the weak error.
It also presents some models, mostly in the field of finance, where these methods are relevant and provides some numerical experiments.
The book explains the mathematical background to understand affine diffusions and analyze the accuracy of the schemes.
Information
-
Item not Available
- Format:Paperback / softback
- Pages:252 pages, 5 Tables, black and white; 16 Illustrations, color; 1 Illustrations, black and white; XII
- Publisher:Springer International Publishing AG
- Publication Date:17/10/2016
- Category:
- ISBN:9783319382548
Other Formats
- Hardback from £44.99
- PDF from £38.24
Information
-
Item not Available
- Format:Paperback / softback
- Pages:252 pages, 5 Tables, black and white; 16 Illustrations, color; 1 Illustrations, black and white; XII
- Publisher:Springer International Publishing AG
- Publication Date:17/10/2016
- Category:
- ISBN:9783319382548
