Affine Diffusions and Related Processes: Simulation, Theory - download pdf or read online

By Aurélien Alfonsi

This e-book provides an outline of affine diffusions, from Ornstein-Uhlenbeck tactics to Wishart approaches and it considers a few comparable diffusions similar to Wright-Fisher procedures. It makes a speciality of diverse simulation schemes for those procedures, specifically second-order schemes for the susceptible mistakes. It additionally provides a few types, as a rule within the box of finance, the place those tools are proper and gives a few numerical experiments.

The publication explains the mathematical heritage to appreciate affine diffusions and learn the accuracy of the schemes.

 

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Affine Diffusions and Related Processes: Simulation, Theory and Applications (Bocconi & Springer Series) by Aurélien Alfonsi


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