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
Tabla de Contenidos:
  • 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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