TY  - BOOK
AU  - Alfonsi,Aurélien
ED  - SpringerLink (Online service)
TI  - Affine Diffusions and Related Processes: Simulation, Theory and Applications
T2  - Bocconi & Springer Series, Mathematics, Statistics, Finance and Economics,
SN  - 9783319052212
AV  - HB135-147 
U1  - 519 23
PY  - 2015///
CY  - Cham
PB  - Springer International Publishing, Imprint: Springer
KW  - mathematics
KW  - Economics, Mathematical
KW  - Computer mathematics
KW  - Probabilities
KW  - Biomathematics
KW  - Statistics
KW  - Mathematics
KW  - Quantitative Finance
KW  - Statistics for Business/Economics/Mathematical Finance/Insurance
KW  - Probability Theory and Stochastic Processes
KW  - Computational Mathematics and Numerical Analysis
KW  - Mathematical and Computational Biology
N1  - 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
N2  - 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.  
UR  - http://dx.doi.org/10.1007/978-3-319-05221-2
ER  -