Tags
Language
Tags
<<
December 2024
Su Mo Tu We Th Fr Sa
1 2 3 4 5 6 7
8 9 10 11 12 13 14
15 16 17 18 19 20 21
22 23 24 25 26 27 28
29 30 31 1 2 3 4
  1. Home
  2. eBooks & eLearning
  3. Affine Diffusions and Related Processes: Simulation, Theory and Applications

Affine Diffusions and Related Processes: Simulation, Theory and Applications

Posted By: arundhati
Date: 10 Oct 2018 13:48:36
Affine Diffusions and Related Processes: Simulation, Theory and Applications

Aurélien Alfonsi, "Affine Diffusions and Related Processes: Simulation, Theory and Applications"
2015 | ISBN-10: 3319052209 | 252 pages | EPUB | 5 MB

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.
UPWARDS