Affine diffusions and related processes [electronic resource] : simulation, theory and applications / Aurélien Alfonsi.
Alfonsi, Aurélien, author.
2015
QA274.75
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Title
Affine diffusions and related processes [electronic resource] : simulation, theory and applications / Aurélien Alfonsi.
Author
Alfonsi, Aurélien, author.
ISBN
9783319052212 electronic book
3319052217 electronic book
9783319052205
DOI
https://doi.org/10.1007/978-3-319-05221-2
Published
Cham : Springer, 2015.
Language
English
Description
1 online resource (xiii, 252 pages) : illustrations.
Item Number
10.1007/978-3-319-05221-2 doi
Call Number
QA274.75
Dewey Decimal Classification
519.2/33
Summary
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.
Bibliography, etc. Note
Includes bibliographical references and index.
Access Note
Access limited to authorized users.
Source of Description
Online resource; title from PDF title page (SpringerLink, viewed May 7, 2015).
Series
Bocconi & Springer series ; volume 6.
Available in Other Form
Affine diffusions and related processes : simulation, theory and applications.
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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.

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