TY  - GEN
AB  - 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.
AU  - Alfonsi, Aurélien,
CN  - QA274.75
DO  - 10.1007/978-3-319-05221-2
DO  - doi
ID  - 726908
KW  - Diffusion processes.
KW  - Approximation theory.
KW  - Matrices.
LK  - https://univsouthin.idm.oclc.org/login?url=http://link.springer.com/10.1007/978-3-319-05221-2
N2  - 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.
SN  - 9783319052212
SN  - 3319052217
T1  - Affine diffusions and related processessimulation, theory and applications /
TI  - Affine diffusions and related processessimulation, theory and applications /
UR  - https://univsouthin.idm.oclc.org/login?url=http://link.springer.com/10.1007/978-3-319-05221-2
VL  - volume 6
ER  -