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Affine Diffusions and Related Processes: Simulation, Theory and Applications

Affine Diffusions and Related Processes: Simulation, Theory and Applications (Hardback)

£76.50
Printed to order. Despatched in 2-3 weeks.
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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.

Science & MathematicsMathematicsApplied mathematicsStochasticsScience & MathematicsMathematicsCalculus & mathematical analysisNumerical analysisScience & MathematicsScience: general issuesMaths for scientists Publisher: Springer International Publishing AG Publication Date: 01/05/2015 ISBN-13: 9783319052205  Details: Type: Hardback Format: Books
Availability: Printed to order. Despatched in 2-3 weeks.  

Aurelien Alfonsi, Researcher on Stochastic Calculus and Finance at the CERMICS.

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