Affine Diffusions and Related Processes Simulation Theory and Applications is popular PDF and ePub book, written by Aurélien Alfonsi in 2015-04-30, it is a fantastic choice for those who relish reading online the Mathematics genre. Let's immerse ourselves in this engaging Mathematics book by exploring the summary and details provided below. Remember, Affine Diffusions and Related Processes Simulation Theory and Applications can be Read Online from any device for your convenience.
Affine Diffusions and Related Processes Simulation Theory and Applications Book PDF 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.
Detail Book of Affine Diffusions and Related Processes Simulation Theory and Applications PDF
- Author : Aurélien Alfonsi
- Release : 30 April 2015
- Publisher : Springer
- ISBN : 9783319052212
- Genre : Mathematics
- Total Page : 264 pages
- Language : English
- PDF File Size : 17,7 Mb
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