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Affine Diffusions and Related Processes: Simulation, Theory and Applications

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Affine Diffusions and Related Processes: Simulation, Theory and Applications
  • Forlagets pris kr. 909,95
  • Leveringstid 2-4 uger
  • Forventet levering 23-07-2018
  • Bog, paperback (kr. 629,95) (kr. 629,95)
    1. 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. 1 Paperback 5 Tables, black and white; 16 Illustrations, color; 1 Illustrations, black and white; XIII, 252 p. 17 illus., 16 illus. in color.

      Andre udgaver:

      Bog, hardback
      E-bog, PDF

    2. Yderligere info
      Udgivelsesdato:
      17-10-2016
      Sprog:
      Engelsk
      ISBN13:
      9783319382548
      Sidetal:
      265
      Vægt:
      559 g
      Højde:
      14 mm
      Bredde:
      155 mm
      Længde:
      235 mm
      Nummer i serien:
      6
      Mærkat:
      Bog, paperback
      Format:
      Paperback
      Udgave:
      Softcover reprint of the original 1st ed. 2015
      • 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.

    3. Anmeldelser

      Kundernes boganmeldelser af Affine Diffusions and Related Processes: Simulation, Theory and Applications

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