Affine Diffusions and Related Processes: Simulation, Theory and Applications
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 al...
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| Ngôn ngữ: | English |
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Springer
2015
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| Truy cập trực tuyến: | https://scholar.dlu.edu.vn/thuvienso/handle/DLU123456789/57492 |
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oai:scholar.dlu.edu.vn:DLU123456789-574922023-11-11T05:45:01Z Affine Diffusions and Related Processes: Simulation, Theory and Applications Alfonsi, Aurélien Diffusion processes Approximation theory Matrices 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. 2015-08-17T03:28:51Z 2015-08-17T03:28:51Z 2015 Book 978-3-319-05221-2 https://scholar.dlu.edu.vn/thuvienso/handle/DLU123456789/57492 en application/pdf Springer |
| institution |
Thư viện Trường Đại học Đà Lạt |
| collection |
Thư viện số |
| language |
English |
| topic |
Diffusion processes Approximation theory Matrices |
| spellingShingle |
Diffusion processes Approximation theory Matrices Alfonsi, Aurélien Affine Diffusions and Related Processes: Simulation, Theory and Applications |
| description |
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. |
| format |
Book |
| author |
Alfonsi, Aurélien |
| author_facet |
Alfonsi, Aurélien |
| author_sort |
Alfonsi, Aurélien |
| title |
Affine Diffusions and Related Processes: Simulation, Theory and Applications |
| title_short |
Affine Diffusions and Related Processes: Simulation, Theory and Applications |
| title_full |
Affine Diffusions and Related Processes: Simulation, Theory and Applications |
| title_fullStr |
Affine Diffusions and Related Processes: Simulation, Theory and Applications |
| title_full_unstemmed |
Affine Diffusions and Related Processes: Simulation, Theory and Applications |
| title_sort |
affine diffusions and related processes: simulation, theory and applications |
| publisher |
Springer |
| publishDate |
2015 |
| url |
https://scholar.dlu.edu.vn/thuvienso/handle/DLU123456789/57492 |
| _version_ |
1819833023619661824 |