Affine Diffusions and Related Processes: Simulation, Theory and Applications (Bocconi & Springer Series, 6) Paperback - 2016
by Alfonsi, Aurélien
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Details
- Title Affine Diffusions and Related Processes: Simulation, Theory and Applications (Bocconi & Springer Series, 6)
- Author Alfonsi, Aurélien
- Binding Paperback
- Condition Used - Good
- Publisher Springer
- Publication date 2016
- Features Illustrated
- Bookseller's Inventory # 3319382543.G
- ISBN 9783319382548
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Themes
- Aspects (Academic): Science/Technology Aspects
- Quantity available 1
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From the publisher
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.