Affine Diffusions and Related Processes: Simulation, Theory and Applications (Bocconi & Springer Series, 6)

Alfonsi, Aurélien

ISBN 10: 3319382543 / ISBN 13: 9783319382548

Published by Springer, 2016

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Bibliographic Details

• Title: Affine Diffusions and Related Processes: Simulation, Theory and Applications (Bocconi & Springer Series, 6)
• Publisher: Springer
• Publication Date: 2016
• Language: English
• ISBN 10: 3319382543
• ISBN 13: 9783319382548
• Binding: Paperback
• Condition: Like New
• Book Type: book

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

Aurélien Alfonsi, Researcher on Stochastic Calculus and Finance at the CERMICS.