Description: Affine Diffusions and Related Processes : Simulation, Theory and Applications, Hardcover by Alfonsi, Aurélien, ISBN 3319052209, ISBN-13 9783319052205, Like New Used, Free shipping in the US
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.
Th explains the mathematical background to understand affine diffusions and analyze the accuracy of the schemes.
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Book Title: Affine Diffusions and Related Processes : Simulation, Theory and
Number of Pages: Xiii, 252 Pages
Publication Name: Affine Diffusions and Related Processes : Simulation, Theory and Applications
Language: English
Publisher: Springer International Publishing A&G
Publication Year: 2015
Subject: Functional Analysis, Probability & Statistics / Stochastic Processes, Probability & Statistics / General, Matrices, Statistics, Applied
Type: Textbook
Item Weight: 185.8 Oz
Subject Area: Mathematics, Business & Economics
Item Length: 9.3 in
Author: Aurelien Alfonsi
Item Width: 6.1 in
Series: Bocconi and Springer Ser.
Format: Hardcover
