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Affine Diffusions and Related Processes: Simulation, Theory and Applications

Affine Diffusions and Related Processes: Simulation, Theory and Applications

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

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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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.

About the author

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