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Affine diffusions and related proces...

Alfonsi, Aurelien.

Affine diffusions and related processessimulation, theory and applications /

Record Type:	Electronic resources : Monograph/item
Title/Author:	Affine diffusions and related processesby Aurelien Alfonsi.
Reminder of title:	simulation, theory and applications /
Author:	Alfonsi, Aurelien.
Published:	Cham :Springer International Publishing :2015.
Description:	xiii, 252 p. :ill. (some col.), digital ;24 cm.
Contained By:	Springer eBooks
Subject:	Diffusion processes.
Online resource:	http://dx.doi.org/10.1007/978-3-319-05221-2
ISBN:	9783319052212 (electronic bk.)

Affine diffusions and related processessimulation, theory and applications /
Alfonsi, Aurelien.

Affine diffusions and related processessimulation, theory and applications /[electronic resource] :by Aurelien Alfonsi. - Cham :Springer International Publishing :2015. - xiii, 252 p. :ill. (some col.), digital ;24 cm. - Bocconi & Springer series,v.62039-1471 ;. - Bocconi & Springer series ;v.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 (electronic bk.)

Standard No.: 10.1007/978-3-319-05221-2doiSubjects--Topical Terms:

186291
Diffusion processes.

LC Class. No.: QA274.75

Dewey Class. No.: 519.233

Affine diffusions and related processessimulation, theory and applications /
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245 1 0 $a Affine diffusions and related processes $h [electronic resource] : $b simulation, theory and applications / $c by Aurelien Alfonsi.
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300 $a xiii, 252 p. : $b ill. (some col.), digital ; $c 24 cm.
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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.
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