By Aurélien Alfonsi

ISBN-10: 3319052209

ISBN-13: 9783319052205

This ebook provides an summary of affine diffusions, from Ornstein-Uhlenbeck approaches to Wishart techniques and it considers a few similar diffusions corresponding to Wright-Fisher techniques. It makes a speciality of diversified simulation schemes for those strategies, in particular second-order schemes for the vulnerable errors. It additionally provides a few versions, usually within the box of finance, the place those equipment are appropriate and offers a few numerical experiments.

The booklet explains the mathematical heritage to appreciate affine diffusions and research the accuracy of the schemes.

 

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Affine Diffusions and Related Processes: Simulation, Theory and Applications (Bocconi & Springer Series) by Aurélien Alfonsi


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