Affine Diffusions and Related Processes: Simulation, Theory and Applications (Bocconi & Springer Series, Band 6) - Softcover

Buch 6 von 9: Bocconi & Springer Series

Alfonsi, Aurélien

 
9783319382548: Affine Diffusions and Related Processes: Simulation, Theory and Applications (Bocconi & Springer Series, Band 6)
Softcover
ISBN 10: 3319382543 ISBN 13: 9783319382548
Verlag: Springer, 2016

Inhaltsangabe

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.

 

Die Inhaltsangabe kann sich auf eine andere Ausgabe dieses Titels beziehen.

Über die Autorin bzw. den Autor

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

Von der hinteren Coverseite

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.

 

„Über diesen Titel“ kann sich auf eine andere Ausgabe dieses Titels beziehen.

Verlag
Springer
Erscheinungsdatum
2016
Sprache
Englisch
ISBN 10 
3319382543
ISBN 13 
9783319382548
Einband
Taschenbuch
Anzahl der Seiten
268
Kontakt zum Hersteller
ProductSafety@springernature.com
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Poststr. 9
Darmstadt
64293
Deutschland

Weitere beliebte Ausgaben desselben Titels

9783319052205: Affine Diffusions and Related Processes: Simulation, Theory and Applications (Bocconi & Springer Series, 6, Band 6)

Vorgestellte Ausgabe

ISBN 10:  3319052209 ISBN 13:  9783319052205
Verlag: Springer, 2015
Hardcover