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 ...
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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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Add this copy of Affine Diffusions and Related Processes: Simulation, to cart. $51.65, new condition, Sold by Ingram Customer Returns Center rated 5.0 out of 5 stars, ships from NV, USA, published 2016 by Springer.
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New. Trade paperback (US). Glued binding. 252 p. Contains: Unspecified, Illustrations, black & white, Illustrations, color, Tables, black & white. Bocconi & Springer, 6. In Stock. 100% Money Back Guarantee. Brand New, Perfect Condition, allow 4-14 business days for standard shipping. To Alaska, Hawaii, U.S. protectorate, P.O. box, and APO/FPO addresses allow 4-28 business days for Standard shipping. No expedited shipping. All orders placed with expedited shipping will be cancelled. Over 3, 000, 000 happy customers.
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Add this copy of Affine Diffusions and Related Processes: Simulation, to cart. $51.65, new condition, Sold by Ingram Customer Returns Center rated 5.0 out of 5 stars, ships from NV, USA, published 2015 by Springer International Publishing AG.
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New. Print on demand Contains: Illustrations, black & white, Illustrations, color. Bocconi & Springer Series . XIII, 252 p. 17 illus., 16 illus. in color. Intended for professional and scholarly audience.
