Affine Diffusions and Related Processes: Simulation, Theory and Applications

Aurélien Alfonsi

ISBN 10: 3319382543 / ISBN 13: 9783319382548

Editore: Springer, 2016

Affine Diffusions and Related Processes: Simulation, Theory and Applications | Aurélien Alfonsi | Taschenbuch | Bocconi & Springer Series | xiii | Englisch | 2016 | Springer | EAN 9783319382548 | Verantwortliche Person für die EU: Springer Verlag GmbH, Tiergartenstr. 17, 69121 Heidelberg, juergen[dot]hartmann[at]springer[dot]com | Anbieter: preigu. Codice articolo 102727385

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.

 

Informazioni sull'autore: Aurélien Alfonsi, Researcher on Stochastic Calculus and Finance at the CERMICS.

Dati bibliografici

Titolo: Affine Diffusions and Related Processes: ...
Casa editrice: Springer
Data di pubblicazione: 2016
Legatura: Taschenbuch
Condizione: Neu