Affine Diffusions and Related Processes: Simulation, Theory and Applications

Affine Diffusions and Related Processes: Simulation, Theory and Applications

by Alfonsi, Aurélien

Type Book
Rate 0.0 /5
Details
Files
Reviews
Download

Title Statements

  • Full title :Affine Diffusions and Related Processes: Simulation, Theory and Applications / by Aurélien Alfonsi.

Edition Statements

  • Publication Date:2015.

Publication Statements

The Physical Object

  • Description:1 online resource (XIII, 252 p. 17 illustrations, 16 illustrations in color.) : : online resource

Edition Identifiers

  • ISBN:9783319052212, 3319052217
  • DOI:10.1007/978-3-319-05221-2
  • oclc:ocn942648717
  • LC Classification:HB135-147
  • Dewey Decimal:519

Table of Contents

1 Real valued affine diffusions -- 2 An introduction to simulation schemes for SDEs -- 3 Simulation of the CIR process -- 4 The Heston model and multidimensional affine diffusions -- 5 Wishart processes and affine diffusions on positive semidefinite matrices -- 6 Processes of Wright-Fisher type -- 7 Appendix A Some results on matrices -- 8 Appendix B Simulation of a gamma random variable.

Read More ↓

Subjects

applied mathematics Computational Mathematics and Numerical… Computer science -- Mathematics Distribution (Probability theory) distribution (statistics-related concep… Distribution (théorie des probabilités) Economics Economics -- Statistics Économie politique -- Statistiques finance Finances Informatique -- Mathématiques Mathematical and Computational Biology mathematics Mathématiques Probability Theory and Stochastic Proce… Quantitative Finance Statistics Statistics for Business/Economics/Mathe…

Writers

Alfonsi, Aurélien

More from this Series

  • Peacocks and Associated Martingales, with Explicit Constructions

    2011
    more →
    Peacocks and Associated Martingales, with Explicit Constructions

  • Affine Diffusions and Related Processes: Simulation, Theory and Appli…

    2015.
    more →
    Affine Diffusions and Related Processes: Simulation, Theory and Applications

  • Affine Diffusions and Related Processes: Simulation, Theory and Appli…

    2015.
    more →
    Affine Diffusions and Related Processes: Simulation, Theory and Applications

  • Affine Diffusions and Related Processes: Simulation, Theory and Appli…

    2015.
    more →
    Affine Diffusions and Related Processes: Simulation, Theory and Applications

  • Stochastic Analysis for Poisson Point Processes

    2016.
    more →
    Stochastic Analysis for Poisson Point Processes

Rate & Review

0.0/5
(0 people Voted)

No reviews yet. Be the first to rate this work.

Files & Downloads

  • Affine Diffusions and Related Processes: Simulati…

    PDF · 3.7 MB · updated
    Login →

  • Affine Diffusions and Related Processes: Simulati…

    PDF · 3.6 MB · updated
    Login →
Log in to request a copy