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Affine Diffusions and Related Processes: Simulation, Theory and Applications / / by Aurélien Alfonsi



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Autore: Alfonsi Aurélien Visualizza persona
Titolo: Affine Diffusions and Related Processes: Simulation, Theory and Applications / / by Aurélien Alfonsi Visualizza cluster
Pubblicazione: Cham : , : Springer International Publishing : , : Imprint : Springer, , 2015
Edizione: 1st ed. 2015.
Descrizione fisica: 1 online resource (264 p.)
Disciplina: 330.015195
510
518
519
519.2
570.285
Soggetto topico: Economics, 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
Note generali: Description based upon print version of record.
Nota di bibliografia: Includes bibliographical references and index.
Nota di contenuto: 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.
Sommario/riassunto: 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. .
Titolo autorizzato: Affine diffusions and related processes : simulation, theory and applications  Visualizza cluster
ISBN: 3-319-05221-7
Formato: Materiale a stampa
Livello bibliografico Monografia
Lingua di pubblicazione: Inglese
Record Nr.: 9910299764203321
Lo trovi qui: Univ. Federico II
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Serie: Bocconi & Springer Series, Mathematics, Statistics, Finance and Economics, . 2039-1471 ; ; 6