Affine Diffusions and Related Processes: Simulation, Theory and Applications

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...

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Detalles Bibliográficos
Clasificación:Libro Electrónico
Autor principal: Alfonsi, Aurélien (Autor)
Autor Corporativo: SpringerLink (Online service)
Formato: Electrónico eBook
Idioma:Inglés
Publicado: Cham : Springer International Publishing : Imprint: Springer, 2015.
Edición:1st ed. 2015.
Colección:Bocconi & Springer Series, Mathematics, Statistics, Finance and Economics, 6
Temas:
Social sciences-Mathematics.
Statistics .
Probabilities.
Mathematics-Data processing.
Biomathematics.
Mathematics in Business, Economics and Finance.
Statistics in Business, Management, Economics, Finance, Insurance.
Probability Theory.
Computational Mathematics and Numerical Analysis.
Mathematical and Computational Biology.
Acceso en línea:Texto Completo
Descripción
Sumario: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. .
Descripción Física:XIII, 252 p. 17 illus., 16 illus. in color. online resource.
ISBN:9783319052212
ISSN:2039-148X ;

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