Affine Diffusions and Related Processes: Simulation, Theory and Applications: 6 - Rilegato

Alfonsi, Aurlien

Rilegato

ISBN 10: 3319052209 ISBN 13: 9783319052205

Casa editrice: Springer Nature, 2015

Riassunto

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.

 

Su questo libro

Informazioni sull?autore

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

Dalla quarta di copertina

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.

 

Dettagli dell'edizione

• Editore: Springer Nature
• Data di pubblicazione: 2015
• Lingua: Inglese
• ISBN 10: 3319052209
• ISBN 13: 9783319052205
• Rilegatura: Copertina rigida
• Numero di pagine: 252
• Contatto del produttore: ProductSafety@springernature.com; ProductSafety@springernature.com; ; Poststr. 9; Darmstadt; 64293; Germania