Description: Affine Diffusions and Related Processes: Simulation, Theory and Applications Please note: this item is printed on demand and will take extra time before it can be dispatched to you (up to 20 working days). Author(s): Aurelien Alfonsi Format: Paperback Publisher: Springer International Publishing AG, Switzerland Imprint: Springer International Publishing AG ISBN-13: 9783319382548, 978-3319382548 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.
Price: 37.73 GBP
Location: Aldershot
End Time: 2023-10-04T08:07:13.000Z
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Book Title: Affine Diffusions and Related Processes: Simulation, Theory an...
Item Height: 235mm
Item Width: 155mm
Author: Aurelien Alfonsi
Publication Name: Affine Diffusions and Related Processes: Simulation, Theory and Applications
Format: Paperback
Language: English
Publisher: Springer International Publishing A&G
Subject: Accounting, Government, Mathematics
Publication Year: 2016
Type: Textbook
Item Weight: 4102g
Number of Pages: 252 Pages
