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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 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.

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Detail Information
Series Title
Bocconi & Springer Series
Call Number
330 ALF a
Publisher
Cham, Switzerland : Springer Cham.,
Collation
XIII, 252
Language
English
ISBN/ISSN
978-3-319-05221-2
Classification
330
Content Type
text
Media Type
computer
Carrier Type
online resource
Edition
Ed. 1
Subject(s)
Mathematics in Business
Economics and Finance
Specific Detail Info
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Statement of Responsibility
Other Information
Cataloger
umi
Source
https://link.springer.com/content/pdf/10.1007/978-3-319-05221-2.pdf?pdf=button
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