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Bog, paperback Affine Diffusions and Related Processes: Simulation, Theory and Applications af Aurelien Alfonsi

Affine Diffusions and Related Processes: Simulation, Theory and Applications (Bocconi and Springer Series, nr. 6)

(Bog, paperback)

1 black & white illustrations, 16 colour illustrations, 5 black & white tables, biography

1 black & white illustrations, 16 colour illustrations, 5 black & white tables, biography

Produktdetaljer:

Sprog:
Engelsk
ISBN-13:
9783319382548
Sideantal:
265
Udgivet:
04-11-2016
Udgave:
Softcover reprint of the original 1st ed. 2015
Nr. i serien:
6
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(Bog, hardback), Engelsk
kr. 667,89
(E-bog, PDF), Engelsk
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04-11-2016
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Forlagets beskrivelse
1 black & white illustrations, 16 colour illustrations, 5 black & white tables, biography
Bibliotekernes beskrivelse
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.

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