Affine Diffusions and Related Processes: Simulation, Theory and Applications
Language: English
Published by Springer 2016-10, 2016
- Softcover
- New
Seller: Chiron Media, Wallingford, United KingdomChiron Media
AbeBooks seller since August 2, 2010
Condition: New
£ 47.77
Quantity: 20 available
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Seller Inventory # 6666-IUK-9783319382548
- Title
- Affine Diffusions and Related Processes: Simulation, Theory and Applications
- Author
- Alfonsi, Aurelien
- Publisher
- Springer 2016-10
- Publication year
- 2016
- Condition
- New
- Binding
- PF
- Language
- English
- ISBN 10
- 3319382543
- ISBN 13
- 9783319382548
- 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.
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Chiron Media
Wallingford, United Kingdom
AbeBooks seller since August 2, 2010
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