Title: Affine Diffusions and Related Processes : Simulation, Theory and Applications
Publisher: Springer
Publication Date: 2015
Language: English
ISBN 10: 3319052209
ISBN 13: 9783319052205
Binding: Hardcover
Condition: As New

About this title

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.

About the Author

Aur�lien Alfonsi, Researcher on Stochastic Calculus and Finance at the CERMICS.

"About this title" may belong to another edition of this title.

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