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Affine Diffusions and Related Processes : Simulation, Theory and Applications (Reprint) (Paperback)

Affine Diffusions and Related Processes : Simulation, Theory and Applications (Reprint) (Paperback) - image 1 of 1

About this item

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.

Edition: Reprint
Number of Pages: 265
Genre: Mathematics, Business + Money Management
Series Title: Bocconi & Springer
Format: Paperback
Publisher: Springer Verlag
Author: Auru00e9lien Alfonsi
Language: English
Street Date: November 4, 2016
TCIN: 51969698
UPC: 9783319382548
Item Number (DPCI): 248-37-7558
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