Affine Diffusions and Related Processes: Simulation, Theory and Applications
by Aurélien Alfonsi
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190.61 zł
Opis książki
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.
Szczegóły książki
Autor
Aurélien Alfonsi
Wydawnictwo
Springer International Publishing
Rok wydania
2015
ISBN
9783319052212
Dostępne formaty
eBook (PDF, EPUB)
Audiobook (MP3)
Język
Polski