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Affine Diffusions and Related Processes: Simulation, Theory and Applications (Paperback, Softcover reprint of the original 1st ed. 2015) Loot Price: R2,068
Discovery Miles 20 680
Repayment Terms: R194 pm x 12*
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Affine Diffusions and Related Processes: Simulation, Theory and Applications (Paperback, Softcover reprint of the original 1st...

Affine Diffusions and Related Processes: Simulation, Theory and Applications (Paperback, Softcover reprint of the original 1st ed. 2015)

Aurélien Alfonsi

Series: Bocconi & Springer Series, 6

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Loot Price R2,068 Discovery Miles 20 680 | Repayment Terms: R194 pm x 12*

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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: October 2016
First published: 2015
Authors: Aurélien Alfonsi
Dimensions: 235 x 155 x 14mm (L x W x T)
Format: Paperback
Pages: 252
Edition: Softcover reprint of the original 1st ed. 2015
ISBN-13: 978-3-319-38254-8
Categories: Books > Business & Economics > Finance & accounting > General
Books > Science & Mathematics > Mathematics > Probability & statistics
Books > Science & Mathematics > Science: general issues > General
Books > Science & Mathematics > Mathematics > Calculus & mathematical analysis > Infinite series
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LSN: 3-319-38254-3
Barcode: 9783319382548

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