Affine diffusions and related processes simulation, theory and applications / [electronic resource] :

• 作者： Alfonsi, Aurelien.
• 其他作者：
  • SpringerLink (Online service)
• 其他題名：
  • Bocconi & Springer series,
• 出版： Cham : Springer International Publishing :Imprint: Springer
• 叢書名： Bocconi & Springer series,v.6
• 主題： Diffusion processes , Approximation theory , Matrices , Mathematics , Quantitative Finance. , Statistics for Business/Economics/Mathematical Finance/Insurance. , Probability Theory and Stochastic Processes. , Computational Mathematics and Numerical Analysis. , Mathematical and Computational Biology.
• ISBN： 9783319052212 (electronic bk.) 、 9783319052205 (paper)
• FIND@SFXID: CGU
• 資料類型: 電子書
• 內容註: 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.
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• 摘要註: 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.
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