Cargando…
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...
| Clasificación: | Libro Electrónico |
|---|---|
| Autor principal: | |
| Autor Corporativo: | |
| 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: | |
| Acceso en línea: | Texto Completo |
MARC
| LEADER | 00000nam a22000005i 4500 | ||
|---|---|---|---|
| 001 | 978-3-319-05221-2 | ||
| 003 | DE-He213 | ||
| 005 | 20220116003142.0 | ||
| 007 | cr nn 008mamaa | ||
| 008 | 150430s2015 sz | s |||| 0|eng d | ||
| 020 | |a 9783319052212 |9 978-3-319-05221-2 | ||
| 024 | 7 | |a 10.1007/978-3-319-05221-2 |2 doi | |
| 050 | 4 | |a H61.25 | |
| 072 | 7 | |a PBW |2 bicssc | |
| 072 | 7 | |a K |2 bicssc | |
| 072 | 7 | |a MAT003000 |2 bisacsh | |
| 072 | 7 | |a PBW |2 thema | |
| 072 | 7 | |a K |2 thema | |
| 082 | 0 | 4 | |a 519 |2 23 |
| 100 | 1 | |a Alfonsi, Aurélien. |e author. |4 aut |4 http://id.loc.gov/vocabulary/relators/aut | |
| 245 | 1 | 0 | |a Affine Diffusions and Related Processes: Simulation, Theory and Applications |h [electronic resource] / |c by Aurélien Alfonsi. |
| 250 | |a 1st ed. 2015. | ||
| 264 | 1 | |a Cham : |b Springer International Publishing : |b Imprint: Springer, |c 2015. | |
| 300 | |a XIII, 252 p. 17 illus., 16 illus. in color. |b online resource. | ||
| 336 | |a text |b txt |2 rdacontent | ||
| 337 | |a computer |b c |2 rdamedia | ||
| 338 | |a online resource |b cr |2 rdacarrier | ||
| 347 | |a text file |b PDF |2 rda | ||
| 490 | 1 | |a Bocconi & Springer Series, Mathematics, Statistics, Finance and Economics, |x 2039-148X ; |v 6 | |
| 505 | 0 | |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. | |
| 520 | |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. . | ||
| 650 | 0 | |a Social sciences-Mathematics. | |
| 650 | 0 | |a Statistics . | |
| 650 | 0 | |a Probabilities. | |
| 650 | 0 | |a Mathematics-Data processing. | |
| 650 | 0 | |a Biomathematics. | |
| 650 | 1 | 4 | |a Mathematics in Business, Economics and Finance. |
| 650 | 2 | 4 | |a Statistics in Business, Management, Economics, Finance, Insurance. |
| 650 | 2 | 4 | |a Probability Theory. |
| 650 | 2 | 4 | |a Computational Mathematics and Numerical Analysis. |
| 650 | 2 | 4 | |a Mathematical and Computational Biology. |
| 710 | 2 | |a SpringerLink (Online service) | |
| 773 | 0 | |t Springer Nature eBook | |
| 776 | 0 | 8 | |i Printed edition: |z 9783319052229 |
| 776 | 0 | 8 | |i Printed edition: |z 9783319052205 |
| 776 | 0 | 8 | |i Printed edition: |z 9783319382548 |
| 830 | 0 | |a Bocconi & Springer Series, Mathematics, Statistics, Finance and Economics, |x 2039-148X ; |v 6 | |
| 856 | 4 | 0 | |u https://doi.uam.elogim.com/10.1007/978-3-319-05221-2 |z Texto Completo |
| 912 | |a ZDB-2-SMA | ||
| 912 | |a ZDB-2-SXMS | ||
| 950 | |a Mathematics and Statistics (SpringerNature-11649) | ||
| 950 | |a Mathematics and Statistics (R0) (SpringerNature-43713) | ||