Affine Diffusions and Related Processes: Simulation, Theory and Applications

Business & Finance, Economics, Statistics, Nonfiction, Science & Nature, Mathematics, Applied
Cover of the book Affine Diffusions and Related Processes: Simulation, Theory and Applications by Aurélien Alfonsi, Springer International Publishing
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Author: Aurélien Alfonsi ISBN: 9783319052212
Publisher: Springer International Publishing Publication: April 30, 2015
Imprint: Springer Language: English
Author: Aurélien Alfonsi
ISBN: 9783319052212
Publisher: Springer International Publishing
Publication: April 30, 2015
Imprint: Springer
Language: English

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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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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