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Affine Diffusions and Related Processes: Simulation, Theory and Applications

紀錄類型:	書目-語言資料,印刷品 : Monograph/item
正題名/作者:	Affine Diffusions and Related Processes: Simulation, Theory and Applications/ by Aurélien Alfonsi.
作者:	Alfonsi, Aurélien.
面頁冊數:	XIII, 252 p. 17 illus., 16 illus. in color.online resource. :
Contained By:	Springer Nature eBook
標題:	Economics, Mathematical . -
電子資源:	https://doi.org/10.1007/978-3-319-05221-2
ISBN:	9783319052212

Affine Diffusions and Related Processes: Simulation, Theory and Applications
Alfonsi, Aurélien.

Affine Diffusions and Related Processes: Simulation, Theory and Applications[electronic resource] /by Aurélien Alfonsi. - 1st ed. 2015. - XIII, 252 p. 17 illus., 16 illus. in color.online resource. - Bocconi & Springer Series, Mathematics, Statistics, Finance and Economics,62039-1471 ;. - Bocconi & Springer Series, Mathematics, Statistics, Finance and Economics,6.

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.

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. .

ISBN: 9783319052212

Standard No.: 10.1007/978-3-319-05221-2doiSubjects--Topical Terms:

1253712
Economics, Mathematical .

LC Class. No.: HB135-147

Dewey Class. No.: 519

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