Affine Diffusions and Related Processes: Simulation, Theory and Applications
Language: English
Published by Springer, 2016
- Softcover
- New
Seller: AHA-BUCH GmbH, Einbeck, GermanyAHA-BUCH GmbH
AbeBooks seller since August 14, 2006
Condition: New
£ 68.03
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Add to basketItem description from seller
Druck auf Anfrage Neuware - Printed after ordering - 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.
Seller Inventory # 9783319382548
- Title
- Affine Diffusions and Related Processes: Simulation, Theory and Applications
- Author
- Aurélien Alfonsi
- Publisher
- Springer
- Publication year
- 2016
- Condition
- Neu
- Binding
- Taschenbuch
- Language
- English
- ISBN 10
- 3319382543
- ISBN 13
- 9783319382548
- Item weight
- 411 grams
- Dimensions
- 235x155x15 mm
- Series
- Book 6 of 9: Bocconi & Springer Series
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.
"Synopsis" may belong to another edition of this title.
About the Author
"About the title" may belong to another edition of this title.
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