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Affine Diffusions and Related Processes: Simulation, Theory and Applications (Hardcover, 2015 ed.) Loot Price: R2,072

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Repayment Terms: R194 pm x 12*

You Save: R1,360 (40%)

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Affine Diffusions and Related Processes: Simulation, Theory and Applications (Hardcover, 2015 ed.): Aurelien Alfonsi

Affine Diffusions and Related Processes: Simulation, Theory and Applications (Hardcover, 2015 ed.)

Aurelien Alfonsi

Series: Bocconi & Springer Series, 6

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List price ~~R3,432~~ Loot Price R2,072 Discovery Miles 20 720 | Repayment Terms: R194 pm x 12* You Save R1,360 (40%)

Expected to ship within 12 - 19 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.

General

Imprint:	Springer International Publishing AG
Country of origin:	Switzerland
Series:	Bocconi & Springer Series, 6
Release date:	May 2015
First published:	2015
Authors:	Aurelien Alfonsi
Dimensions:	235 x 155 x 19mm (L x W x T)
Format:	Hardcover
Pages:	252
Edition:	2015 ed.
ISBN-13:	978-3-319-05220-5
Categories:	Books > Science & Mathematics > Mathematics > Numerical analysis Books > Science & Mathematics > Mathematics > Applied mathematics > Mathematics for scientists & engineers Books > Science & Mathematics > Mathematics > Applied mathematics > Stochastics Promotions
LSN:	3-319-05220-9
Barcode:	9783319052205