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02983nam a22005415i 4500 |
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978-3-319-05221-2 |
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DE-He213 |
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20151204172925.0 |
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150430s2015 gw | s |||| 0|eng d |
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|a 9783319052212
|9 978-3-319-05221-2
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|a 10.1007/978-3-319-05221-2
|2 doi
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|d GrThAP
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|a HB135-147
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|a MAT003000
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|a BUS027000
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|a Alfonsi, Aurélien.
|e author.
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|a Affine Diffusions and Related Processes: Simulation, Theory and Applications
|h [electronic resource] /
|c by Aurélien Alfonsi.
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|a Cham :
|b Springer International Publishing :
|b Imprint: Springer,
|c 2015.
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| 300 |
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|a XIII, 252 p. 17 illus., 16 illus. in color.
|b online resource.
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|a text
|b txt
|2 rdacontent
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|a computer
|b c
|2 rdamedia
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|a online resource
|b cr
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|a text file
|b PDF
|2 rda
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|a Bocconi & Springer Series, Mathematics, Statistics, Finance and Economics,
|x 2039-1471 ;
|v 6
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|a 1 Real valued affine diffusions -- 2 An introduction to simulation schemes for SDEs -- 3 Simulation of the CIR process -- 4 The Heston model and multidimensional affine diffusions -- 5 Wishart processes and affine diffusions on positive semidefinite matrices -- 6 Processes of Wright-Fisher type -- 7 Appendix A Some results on matrices -- 8 Appendix B Simulation of a gamma random variable.
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|a 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. .
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|a Mathematics.
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|a Economics, Mathematical.
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| 650 |
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|a Computer mathematics.
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|a Probabilities.
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| 650 |
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|a Biomathematics.
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| 650 |
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|a Statistics.
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|a Mathematics.
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| 650 |
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|a Quantitative Finance.
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| 650 |
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|a Statistics for Business/Economics/Mathematical Finance/Insurance.
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| 650 |
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|a Probability Theory and Stochastic Processes.
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| 650 |
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|a Computational Mathematics and Numerical Analysis.
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| 650 |
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|a Mathematical and Computational Biology.
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| 710 |
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|a SpringerLink (Online service)
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|t Springer eBooks
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|i Printed edition:
|z 9783319052205
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| 830 |
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|a Bocconi & Springer Series, Mathematics, Statistics, Finance and Economics,
|x 2039-1471 ;
|v 6
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|u http://dx.doi.org/10.1007/978-3-319-05221-2
|z Full Text via HEAL-Link
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| 912 |
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|a ZDB-2-SMA
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| 950 |
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|a Mathematics and Statistics (Springer-11649)
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