國立虎尾科技大學 |

Affine Diffusions and Related Processes: Simulation, Theory and Applications

Record Type:	Language materials, printed : Monograph/item
Title/Author:	Affine Diffusions and Related Processes: Simulation, Theory and Applications/ by Aurélien Alfonsi.
Author:	Alfonsi, Aurélien.
Description:	XIII, 252 p. 17 illus., 16 illus. in color.online resource. :
Contained By:	Springer Nature eBook
Subject:	Economics, Mathematical . -
Online resource:	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

Affine Diffusions and Related Processes: Simulation, Theory and Applications
LDR:02433nam a22004095i 4500 001 963338
003 DE-He213
005 20200630221322.0
007 cr nn 008mamaa
008 201211s2015 gw | 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
035 $a 978-3-319-05221-2
050 4 $a HB135-147
072 7 $a KF $2 bicssc
072 7 $a MAT003000 $2 bisacsh
072 7 $a KF $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 $3 1258307
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 2039-1471 ; $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 Economics, Mathematical . $3 1253712
650 0 $a Statistics . $3 1253516
650 0 $a Probabilities. $3 527847
650 0 $a Computer mathematics. $3 1199796
650 0 $a Biomathematics. $3 527725
650 1 4 $a Quantitative Finance. $3 669372
650 2 4 $a Statistics for Business, Management, Economics, Finance, Insurance. $3 1211158
650 2 4 $a Probability Theory and Stochastic Processes. $3 593945
650 2 4 $a Computational Mathematics and Numerical Analysis. $3 669338
650 2 4 $a Mathematical and Computational Biology. $3 786706
710 2 $a SpringerLink (Online service) $3 593884
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 2039-1471 ; $v 6 $3 1258308
856 4 0 $u https://doi.org/10.1007/978-3-319-05221-2
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)