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

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

Affine Diffusions and Related Processes: Simulation, Theory and Applications
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Affine Diffusions and Related Processes: Simulation, Theory and Applications (Bocconi & Springer Series, 6) Paperback - 2016

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

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.

About the author

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