| Affine Diffusions and Related Processes: Simulation, Theory and Applications 2015 Edition Contributor(s): Alfonsi, Aurelien (Author) |
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ISBN: 3319052209 ISBN-13: 9783319052205 Publisher: Springer OUR PRICE: $52.24 Product Type: Hardcover Published: May 2015 |
| Additional Information |
| BISAC Categories: - Mathematics | Probability & Statistics - General - Mathematics | Applied - Business & Economics | Statistics |
| Dewey: 519.23 |
| Series: Bocconi & Springer |
| Physical Information: 0.63" H x 6.14" W x 9.21" (1.22 lbs) 252 pages |
| Descriptions, Reviews, Etc. |
| Publisher Description: 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.
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