Affine Diffusions and Related Processes: Simulation, Theory and Applications

Language: English

Published by Springer International Publishing Mai 2015, 2015

3319052209 / 9783319052205

Series: Book 6 of 9 - Bocconi & Springer Series

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Seller: BuchWeltWeit Ludwig Meier e.K., Bergisch Gladbach, GermanyBuchWeltWeit Ludwig Meier e.K.

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This item is printed on demand - it takes 3-4 days longer - Neuware -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. 268 pp. Englisch.

Seller Inventory # 9783319052205

Title
Affine Diffusions and Related Processes: Simulation, Theory and Applications
Author
Aurélien Alfonsi
Publisher
Springer International Publishing Mai 2015
Publication year
2015
Condition
Neu
Binding
Buch
Language
English
ISBN 10
3319052209
ISBN 13
9783319052205
Item weight
571 grams
Dimensions
241x160x21 mm
Series
Book 6 of 9: Bocconi & Springer Series

BuchWeltWeit Ludwig Meier e.K.

Bergisch Gladbach, Germany

5-star seller

AbeBooks seller since January 11, 2012

Shipping rates from Germany to U.S.A.

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BuchWeltWeit Ludwig Meier e.K.

Germany