Bocconi & Springer Series

Alfonsi, Aurélien

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.

Details

Published by: Springer

Publication Date: 2015-05-13

Format: Hardcover

ISBN-13: 9783319052205

DOI: 10.1007/978-3-319-05221-2

Dimensions: 235cm x155cm

Pages: 252