Affine Diffusions and Related Processes: Simulation, Theory and Applications (Bocconi & Springer Series #6)
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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.
- Copyright:
- 2015
Book Details
- Book Quality:
- Publisher Quality
- ISBN-13:
- 9783319052212
- Related ISBNs:
- 9783319052205
- Publisher:
- Springer International Publishing, Cham
- Date of Addition:
- 07/17/18
- Copyrighted By:
- Springer
- Adult content:
- No
- Language:
- English
- Has Image Descriptions:
- No
- Categories:
- Nonfiction, Mathematics and Statistics
- Submitted By:
- Bookshare Staff
- Usage Restrictions:
- This is a copyrighted book.