Affine Diffusions and Related Processes: Simulation, Theory and Applications (Bocconi & Springer Series, 6) - Softcover
Book 6 of 9: Bocconi & Springer Series
Synopsis
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.
"synopsis" may belong to another edition of this title.
About the Author
Aurélien Alfonsi, Researcher on Stochastic Calculus and Finance at the CERMICS.
From the Back Cover
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.
"About this title" may belong to another edition of this title.
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Affine Diffusions and Related Processes: Simulation, Theory and Applications
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Taschenbuch. Condition: Neu. This item is printed on demand - it takes 3-4 days longer - Neuware -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. 268 pp. Englisch. Seller Inventory # 9783319382548
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