Affine Diffusions and Related Processes: Simulation, Theory and Applications

by Aurelien Alfonsi

Book Overview

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...

• Format: Hardcover
• Language: English
• ISBN: 3319052209
• ISBN13: 9783319052205
• Release Date: May 2015
• Publisher: Springer
• Length: 252 Pages
• Weight: 1.22 lbs.
• Dimensions: 0.6" x 6.1" x 9.2"