Affine Diffusions and Related Processes: Simulation, Theory and Applications

• Main Author: Alfonsi, Aurélien (Author)
• Corporate Author: SpringerLink (Online service)
• Format: Electronic eBook
• Language: English
• Published: Cham : Springer International Publishing : Imprint: Springer, 2015.
• Series: Bocconi & Springer Series, Mathematics, Statistics, Finance and Economics, 6
• Subjects: 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.

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 al...

Table of Contents:

• 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.