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Item Details
| Title:
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AFFINE DIFFUSIONS AND RELATED PROCESSES: SIMULATION, THEORY AND APPLICATIONS
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| By: |
Aurelien Alfonsi |
| Format: |
Paperback |
| List price:
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£76.50 |
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We currently do not stock this item, please contact the publisher directly for
further information.
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| ISBN 10: |
3319382543 |
| ISBN 13: |
9783319382548 |
| Publisher: |
SPRINGER INTERNATIONAL PUBLISHING AG |
| Pub. date: |
17 October, 2016 |
| Edition: |
Softcover reprint of the original 1st ed. 2015 |
| Series: |
Bocconi & Springer Series 6 |
| Pages: |
252 |
| Synopsis: |
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. |
| Illustrations: |
5 Tables, black and white; 16 Illustrations, color; 1 Illustrations, black |
| Publication: |
Switzerland |
| Imprint: |
Springer International Publishing AG |
| Returns: |
Returnable |
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