Affine Diffusions and Related Processes: Simulation, Theory and Applications - Couverture souple

Alfonsi, Aurélien

Couverture souple

ISBN 10 : 3319382543 ISBN 13 : 9783319382548

Editeur : Springer, 2016

Synopsis

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.

 

A propos du livre

À propos de l?auteur

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

Détails de l'édition

• Éditeur: Springer
• Date d'édition: 2016
• Langue: anglais
• ISBN 10: 3319382543
• ISBN 13: 9783319382548
• Reliure: Broché
• Nombre de pages: 268
• Coordonnées du fabricant: ProductSafety@springernature.com; ProductSafety@springernature.com; ; Poststr. 9; Darmstadt; 64293; Allemagne