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_a9783319052212 _9978-3-319-05221-2 |
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_a10.1007/978-3-319-05221-2 _2doi |
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_aSpringer _cSpringer _dRU-ToGU |
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_a519 _223 |
| 100 | 1 |
_aAlfonsi, Aurélien. _eauthor. _9461287 |
|
| 245 | 1 | 0 |
_aAffine Diffusions and Related Processes: Simulation, Theory and Applications _helectronic resource _cby Aurélien Alfonsi. |
| 260 |
_aCham : _bSpringer International Publishing : _bImprint: Springer, _c2015. |
||
| 300 |
_aXIII, 252 p. 17 illus., 16 illus. in color. _bonline resource. |
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| 336 |
_atext _btxt _2rdacontent |
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| 337 |
_acomputer _bc _2rdamedia |
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_aonline resource _bcr _2rdacarrier |
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| 490 | 1 |
_aBocconi & Springer Series, Mathematics, Statistics, Finance and Economics, _x2039-1471 ; _v6 |
|
| 505 | 0 | _a1 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. | |
| 520 | _aThis 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. . | ||
| 650 | 0 |
_amathematics. _9566183 |
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| 650 | 0 |
_aEconomics, Mathematical. _9304111 |
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| 650 | 0 |
_aComputer mathematics. _9460896 |
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| 650 | 0 |
_aProbabilities. _9295556 |
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| 650 | 0 |
_aBiomathematics. _9460190 |
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| 650 | 0 |
_aStatistics. _9124796 |
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| 650 | 1 | 4 |
_aMathematics. _9566184 |
| 650 | 2 | 4 |
_aQuantitative Finance. _9304891 |
| 650 | 2 | 4 |
_aStatistics for Business/Economics/Mathematical Finance/Insurance. _9304058 |
| 650 | 2 | 4 |
_aProbability Theory and Stochastic Processes. _9303734 |
| 650 | 2 | 4 |
_aComputational Mathematics and Numerical Analysis. _9303505 |
| 650 | 2 | 4 |
_aMathematical and Computational Biology. _9411705 |
| 710 | 2 |
_aSpringerLink (Online service) _9143950 |
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| 773 | 0 | _tSpringer eBooks | |
| 830 | 0 |
_aBocconi & Springer Series, Mathematics, Statistics, Finance and Economics, _9461288 |
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| 856 | 4 | 0 | _uhttp://dx.doi.org/10.1007/978-3-319-05221-2 |
| 912 | _aZDB-2-SMA | ||
| 999 | _c411485 | ||