Affine Diffusions and Related Processes: Simulation, Theory and Applications
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 d…
Read More ↓Title Statements
- Full title :Affine Diffusions and Related Processes: Simulation, Theory and Applications / by Aurélien Alfonsi.
Summary
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.
Read More ↓Edition Statements
- Publication Date:2015.
Publication Statements
- Publisher(s):Springer International Publishing
- Place of Publication:Cham
- Language:eng
- Publication Date:2015.
The Physical Object
- Description:1 online resource
Edition Identifiers
- ISBN:9783319052212, 3319052217
- oclc:ocn914614963
- LC Classification:HB135-147
- Dewey Decimal:519
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