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Affine Diffusions and Related Processes: Simulation, Theory and Applications (Hardcover, 2015 ed.) Loot Price: R1,901
Discovery Miles 19 010
Repayment Terms: R178 pm x 12*
You Save: R1,396 (42%)
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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 R3,297 Loot Price R1,901 Discovery Miles 19 010 | Repayment Terms: R178 pm x 12* You Save R1,396 (42%)

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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
LSN: 3-319-05220-9
Barcode: 9783319052205

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