| Dewey Class |
519 |
| Title |
Affine Diffusions and Related Processes: Simulation, Theory and Applications ([EBook]) / by Aurélien Alfonsi. |
| Author |
Alfonsi, Aurélien |
| Other name(s) |
SpringerLink (Online service) |
| Publication |
Cham : : Springer International Publishing : : Imprint: Springer, , 2015. |
| Physical Details |
XIII, 252 p. 17 illus., 16 illus. in color. : online resource. |
| Series |
Bocconi & Springer Series, Mathematics, Statistics, Finance and Economics 2039-1471 ; ; 6 |
| ISBN |
9783319052212 |
| Summary Note |
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. .: |
| Contents note |
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. |
| System details note |
Online access to this digital book is restricted to subscription institutions through IP address (only for SISSA internal users). |
| Internet Site |
http://dx.doi.org/10.1007/978-3-319-05221-2 |
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