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Affine diffusions and related proces...

Alfonsi, Aurelien.

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Affine diffusions and related processes = simulation, theory and applications /

Record Type:	Electronic resources : Monograph/item
Title/Author:	Affine diffusions and related processes/ by Aurelien Alfonsi.
Reminder of title:	simulation, theory and applications /
Author:	Alfonsi, Aurelien.
Published:	Cham :Springer International Publishing : : 2015.,
Description:	xiii, 252 p. :ill. (some col.), digital ;24 cm.
[NT 15003449]:	1 Real valued affine diffusions -- 2 An introduction to simulation schemes for SDEs -- 3 Simulation of the CIR process -- 4 The Heston model and multidimensional affine diffusions -- 5 Wishart processes and affine diffusions on positive semidefinite matrices -- 6 Processes of Wright-Fisher type -- 7 Appendix A Some results on matrices -- 8 Appendix B Simulation of a gamma random variable.
Contained By:	Springer eBooks
Subject:	Diffusion processes. -
Online resource:	http://dx.doi.org/10.1007/978-3-319-05221-2
ISBN:	9783319052212 (electronic bk.)

Affine diffusions and related processes = simulation, theory and applications /
Alfonsi, Aurelien.

Affine diffusions and related processessimulation, theory and applications /[electronic resource] :by Aurelien Alfonsi. - Cham :Springer International Publishing :2015. - xiii, 252 p. :ill. (some col.), digital ;24 cm. - Bocconi & Springer series,v.62039-1471 ;. - Bocconi & Springer series ;v.6..

1 Real valued affine diffusions -- 2 An introduction to simulation schemes for SDEs -- 3 Simulation of the CIR process -- 4 The Heston model and multidimensional affine diffusions -- 5 Wishart processes and affine diffusions on positive semidefinite matrices -- 6 Processes of Wright-Fisher type -- 7 Appendix A Some results on matrices -- 8 Appendix B Simulation of a gamma random variable.

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.

ISBN: 9783319052212 (electronic bk.)

Standard No.: 10.1007/978-3-319-05221-2doiSubjects--Topical Terms:

648159
Diffusion processes.

LC Class. No.: QA274.75

Dewey Class. No.: 519.233

Affine diffusions and related processes = simulation, theory and applications /
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100 1 $a Alfonsi, Aurelien. $3 2145774
245 1 0 $a Affine diffusions and related processes $h [electronic resource] : $b simulation, theory and applications / $c by Aurelien Alfonsi.
260 $a Cham : $b Springer International Publishing : $b Imprint: Springer, $c 2015.
300 $a xiii, 252 p. : $b ill. (some col.), digital ; $c 24 cm.
490 1 $a Bocconi & Springer series, $x 2039-1471 ; $v v.6
505 0 $a 1 Real valued affine diffusions -- 2 An introduction to simulation schemes for SDEs -- 3 Simulation of the CIR process -- 4 The Heston model and multidimensional affine diffusions -- 5 Wishart processes and affine diffusions on positive semidefinite matrices -- 6 Processes of Wright-Fisher type -- 7 Appendix A Some results on matrices -- 8 Appendix B Simulation of a gamma random variable.
520 $a 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.
650 0 $a Diffusion processes. $3 648159
650 0 $a Approximation theory. $3 628068
650 0 $a Matrices. $3 516894
650 1 4 $a Mathematics. $3 515831
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650 2 4 $a Statistics for Business/Economics/Mathematical Finance/Insurance. $3 891081
650 2 4 $a Probability Theory and Stochastic Processes. $3 891080
650 2 4 $a Computational Mathematics and Numerical Analysis. $3 891040
650 2 4 $a Mathematical and Computational Biology. $3 1566274
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856 4 0 $u http://dx.doi.org/10.1007/978-3-319-05221-2
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