04081nam 22007815 450 991029976420332120200630221322.03-319-05221-710.1007/978-3-319-05221-2(CKB)3710000000404004(EBL)2095422(SSID)ssj0001501319(PQKBManifestationID)11854459(PQKBTitleCode)TC0001501319(PQKBWorkID)11523816(PQKB)10828177(DE-He213)978-3-319-05221-2(MiAaPQ)EBC2095422(PPN)18548686X(EXLCZ)99371000000040400420150430d2015 u| 0engur|n|---|||||txtccrAffine Diffusions and Related Processes: Simulation, Theory and Applications /by Aurélien Alfonsi1st ed. 2015.Cham :Springer International Publishing :Imprint: Springer,2015.1 online resource (264 p.)Bocconi & Springer Series, Mathematics, Statistics, Finance and Economics,2039-1471 ;6Description based upon print version of record.3-319-05220-9 Includes bibliographical references and index.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. .Bocconi & Springer Series, Mathematics, Statistics, Finance and Economics,2039-1471 ;6Economics, Mathematical Statistics ProbabilitiesComputer mathematicsBiomathematicsQuantitative Financehttps://scigraph.springernature.com/ontologies/product-market-codes/M13062Statistics for Business, Management, Economics, Finance, Insurancehttps://scigraph.springernature.com/ontologies/product-market-codes/S17010Probability Theory and Stochastic Processeshttps://scigraph.springernature.com/ontologies/product-market-codes/M27004Computational Mathematics and Numerical Analysishttps://scigraph.springernature.com/ontologies/product-market-codes/M1400XMathematical and Computational Biologyhttps://scigraph.springernature.com/ontologies/product-market-codes/M31000Economics, Mathematical .Statistics .Probabilities.Computer mathematics.Biomathematics.Quantitative Finance.Statistics for Business, Management, Economics, Finance, Insurance.Probability Theory and Stochastic Processes.Computational Mathematics and Numerical Analysis.Mathematical and Computational Biology.330.015195510518519519.2570.285Alfonsi Aurélienauthttp://id.loc.gov/vocabulary/relators/aut755526BOOK9910299764203321Affine diffusions and related processes : simulation, theory and applications2440527UNINA