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010   $a3-319-05221-7
024 7 $a10.1007/978-3-319-05221-2
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035   $a(DE-He213)978-3-319-05221-2
035   $a(MiAaPQ)EBC2095422
035   $a(PPN)18548686X
035   $a(MiAaPQ)EBC3109984
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100   $a20150430d2015      u|         0
101 0 $aeng
135   $aur|n|---|||||
181   $ctxt
182   $cc
183   $acr
200 10$aAffine Diffusions and Related Processes: Simulation, Theory and Applications /$fby Aurélien Alfonsi
205   $a1st ed. 2015.
210  1$aCham :$cSpringer International Publishing :$cImprint: Springer,$d2015.
215   $a1 online resource (264 p.)
225 1 $aBocconi & Springer Series, Mathematics, Statistics, Finance and Economics,$x2039-1471 ;$v6
300   $aDescription based upon print version of record.
311 08$a3-319-05220-9 
320   $aIncludes bibliographical references and index.
327   $a1 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.
330   $aThis book gives an overview of affine diffusions, from Ornstein-Uhlenbeck processes to Wishart processes and it considers some related diffusions such as Wright-Fisher processes. It focuses on different simulation schemes for these processes, especially second-order schemes for the weak error. It also presents some models, mostly in the field of finance, where these methods are relevant and provides some numerical experiments. The book explains the mathematical background to understand affine diffusions and analyze the accuracy of the schemes. .
410  0$aBocconi & Springer Series, Mathematics, Statistics, Finance and Economics,$x2039-1471 ;$v6
606   $aEconomics, Mathematical
606   $aStatistics
606   $aProbabilities
606   $aComputer science$xMathematics
606   $aBiomathematics
606   $aQuantitative Finance$3https://scigraph.springernature.com/ontologies/product-market-codes/M13062
606   $aStatistics for Business, Management, Economics, Finance, Insurance$3https://scigraph.springernature.com/ontologies/product-market-codes/S17010
606   $aProbability Theory and Stochastic Processes$3https://scigraph.springernature.com/ontologies/product-market-codes/M27004
606   $aComputational Mathematics and Numerical Analysis$3https://scigraph.springernature.com/ontologies/product-market-codes/M1400X
606   $aMathematical and Computational Biology$3https://scigraph.springernature.com/ontologies/product-market-codes/M31000
615  0$aEconomics, Mathematical.
615  0$aStatistics.
615  0$aProbabilities.
615  0$aComputer science$xMathematics.
615  0$aBiomathematics.
615 14$aQuantitative Finance.
615 24$aStatistics for Business, Management, Economics, Finance, Insurance.
615 24$aProbability Theory and Stochastic Processes.
615 24$aComputational Mathematics and Numerical Analysis.
615 24$aMathematical and Computational Biology.
676   $a330.015195
676   $a510
676   $a518
676   $a519
676   $a519.2
676   $a570.285
700   $aAlfonsi$b Aure?lien$4aut$4http://id.loc.gov/vocabulary/relators/aut$00
906   $aBOOK
912   $a9910299764203321
996   $aAffine diffusions and related processes : simulation, theory and applications$92440527
997   $aUNINA