Affine Diffusions and Related Processes: Simulation, Theory and Applications: 6 (Bocconi & Springer Series) - Tapa blanda

Libro 6 de 9: Bocconi & Springer Series

Alfonsi, Aurélien

 
9783319382548: Affine Diffusions and Related Processes: Simulation, Theory and Applications: 6 (Bocconi & Springer Series)
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ISBN 10: 3319382543 ISBN 13: 9783319382548
Editorial: Springer, 2016

Sinopsis

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.

 

"Sinopsis" puede pertenecer a otra edición de este libro.

Acerca del autor

Aurélien Alfonsi, Researcher on Stochastic Calculus and Finance at the CERMICS.

De la contraportada

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.

 

"Sobre este título" puede pertenecer a otra edición de este libro.

Editorial
Springer
Año de publicación
2016
Idioma
Inglés
ISBN 10 
3319382543
ISBN 13 
9783319382548
Encuadernación
Tapa blanda
Número de páginas
268
Contacto del fabricante
ProductSafety@springernature.com
ProductSafety@springernature.com

Poststr. 9
Darmstadt
64293
Alemania

Otras ediciones populares con el mismo título

9783319052205: Affine Diffusions and Related Processes: Simulation, Theory and Applications: 6 (Bocconi & Springer Series, 6)

Edición Destacada

ISBN 10:  3319052209 ISBN 13:  9783319052205
Editorial: Springer, 2015
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