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
View on Amazon View on AbeBooks View on Kobo View on B.Depository View on eBay View on Walmart
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.

 

View on Amazon View on AbeBooks View on Kobo View on B.Depository View on eBay View on Walmart

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.

 

More books from Springer International Publishing

Cover of the book Balanced and Cyclical Growth in Models of Decentralized Economy by Aurélien Alfonsi
Cover of the book World Englishes in English Language Teaching by Aurélien Alfonsi
Cover of the book Social Dimensions of Organised Crime by Aurélien Alfonsi
Cover of the book Personality in Speech by Aurélien Alfonsi
Cover of the book Egalitarianism in Scandinavia by Aurélien Alfonsi
Cover of the book Collaborative Mathematics and Statistics Research by Aurélien Alfonsi
Cover of the book Queens Matter in Early Modern Studies by Aurélien Alfonsi
Cover of the book Scientific Writing and Communication in Agriculture and Natural Resources by Aurélien Alfonsi
Cover of the book Electromagnetic Metal Forming for Advanced Processing Technologies by Aurélien Alfonsi
Cover of the book MicroRNAs: Key Regulators of Oncogenesis by Aurélien Alfonsi
Cover of the book Data Activism and Social Change by Aurélien Alfonsi
Cover of the book Minimal English for a Global World by Aurélien Alfonsi
Cover of the book The Obesity Epidemic by Aurélien Alfonsi
Cover of the book Knowledge, Power, and Women's Reproductive Health in Japan, 1690–1945 by Aurélien Alfonsi
Cover of the book Changing Global Perspectives on Horseshoe Crab Biology, Conservation and Management by Aurélien Alfonsi
We use our own "cookies" and third party cookies to improve services and to see statistical information. By using this website, you agree to our Privacy Policy