Affine Diffusions and Related Processes: Simulation, Theory and Applications

• Κύριος συγγραφέας: Alfonsi, Aurélien (Συγγραφέας)
• Συγγραφή απο Οργανισμό/Αρχή: SpringerLink (Online service)
• Μορφή: Ηλεκτρονική πηγή Ηλ. βιβλίο
• Γλώσσα: English
• Έκδοση: Cham : Springer International Publishing : Imprint: Springer, 2015.
• Σειρά: Bocconi & Springer Series, Mathematics, Statistics, Finance and Economics, 6
• Θέματα: Mathematics.; Economics, Mathematical.; Computer mathematics.; Probabilities.; Biomathematics.; Statistics.; Quantitative Finance.; Statistics for Business/Economics/Mathematical Finance/Insurance.; Probability Theory and Stochastic Processes.; Computational Mathematics and Numerical Analysis.; Mathematical and Computational Biology.
• Φυσική περιγραφή: XIII, 252 p. 17 illus., 16 illus. in color. online resource.
• ISBN: 9783319052212
• ISSN: 2039-1471 ;

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.  .