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Affine Diffusions and Related Processes: Simulation, Theory and Applications
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Affine Diffusions and Related Processes: Simulation, Theory and Applications Paperback - 2016

by AURÉLIEN ALFONSI

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Reader reviews for Affine Diffusions and Related Processes: Simulation, Theory and Applications

From the publisher

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.

From the rear 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.

Details

  • Title Affine Diffusions and Related Processes: Simulation, Theory and Applications
  • Author AURÉLIEN ALFONSI
  • Binding Paperback
  • Publisher Springer
  • Publication date 2016
  • Features Illustrated
  • ISBN 9783319382548
  • Themes
    • Aspects (Academic): Science/Technology Aspects

About the author

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

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Affine Diffusions and Related Processes: Simulation, Theory and Applications

Affine Diffusions and Related Processes: Simulation, Theory and Applications

by Aurélien Alfonsi

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Paperback. New. New Book; Fast Shipping from UK; Not signed; Not First Edition; 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 proc
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Affine Diffusions and Related Processes: Simulation, Theory and Applications

Affine Diffusions and Related Processes: Simulation, Theory and Applications

by Aurelien Alfonsi

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ISBN 10 / ISBN 13
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Paperback / softback. New. 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.
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Affine Diffusions and Related Processes: Simulation, Theory and Applications
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Affine Diffusions and Related Processes: Simulation, Theory and Applications

by Alfonsi, Aurélien

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9783319382548 / 3319382543
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Springer Verlag, 2016. Paperback. New. reprint edition. 265 pages. 9.25x6.10x0.63 inches.
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Affine Diffusions and Related Processes
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Affine Diffusions and Related Processes

by AurÉLien Alfonsi,

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

by Alfonsi, Aurélien

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paperback. Good. Access codes and supplements are not guaranteed with used items. May be an ex-library book.
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Affine Diffusions and Related Processes
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Affine Diffusions and Related Processes

by AurÉLien Alfonsi,

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

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Springer , pp. 268 Softcover reprint of the original 1st ed. 2015 edition NO-PA16APR2015-KAP. Papeback. New.
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