Produktbild: Affine Diffusions and Related Processes: Simulation, Theory and Applications

Affine Diffusions and Related Processes: Simulation, Theory and Applications

Lieferzeit: Lieferbar innerhalb 14 Tagen

53,49 €

inkl. 7 % MwSt. zzgl. Versandkosten

Bocconi & Springer Series 6

ISBN: 3319382543
ISBN 13: 9783319382548
Autor: Alfonsi, Aurélien
Verlag: Springer Verlag GmbH
Umfang: xiii, 252 S., 1 s/w Illustr., 16 farbige Illustr., 252 p. 17 illus., 16 illus. in color.
Erscheinungsdatum: 17.10.2016
Auflage: 1/2015
Produktform: Kartoniert
Einband: Kartoniert

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. 

Artikelnummer: 9961853 Kategorie:

Beschreibung

Autorenporträt

Aurélien Alfonsi, Researcher on Stochastic Calculus and Finance at the CERMICS.

Herstellerkennzeichnung:


Springer Verlag GmbH
Tiergartenstr. 17
69121 Heidelberg
DE

E-Mail: juergen.hartmann@springer.com

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