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Affine Diffusions and Related Processes: Simulation, Theory and Applications (Paperback, Softcover reprint of the original 1st ed. 2015)
Loot Price: R2,242
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Affine Diffusions and Related Processes: Simulation, Theory and Applications (Paperback, Softcover reprint of the original 1st ed. 2015)
Series: Bocconi & Springer Series, 6
Expected to ship within 10 - 15 working days
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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. Â
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