Name: Affine Diffusions and Related Processes: Simulation, Theory and Applications
SKU: 58484050
Price: 53.72 EUR
Availability: InStock
Author: Alfonsi, Aurélien
ISBN: 9783319382548

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portada Affine Diffusions and Related Processes: Simulation, Theory and Applications

Affine Diffusions and Related Processes: Simulation, Theory and Applications

Type

Physical Book

Author

Aurélien Alfonsi

Publisher

Springer

Language

English

Pages

252

Format

Paperback

Dimensions

23.4x15.6x1.4 cm

Weight

0.38 kg.

ISBN13

9783319382548

Synopsis "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 diffusions and analyze the accuracy of the schemes.