Affine Diffusions and Related Processes: Simulation, Theory and Applications
Language: English
Published by Springer, Palgrave Macmillan Okt 2016, 2016
- Softcover
- New
Seller: buchversandmimpf2000, Emtmannsberg, BAYE, Germanybuchversandmimpf2000
AbeBooks seller since January 23, 2017
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This item is printed on demand - Print on Demand Titel. 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.Springer-Verlag KG, Sachsenplatz 4-6, 1201 Wien 268 pp. Englisch.
Seller Inventory # 9783319382548
- Title
- Affine Diffusions and Related Processes: Simulation, Theory and Applications
- Author
- Aurélien Alfonsi
- Publisher
- Springer, Palgrave Macmillan Okt 2016
- 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.
buchversandmimpf2000
Emtmannsberg, BAYE, Germany
AbeBooks seller since January 23, 2017
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