About this book
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.
- DOI https://doi.org/10.1007/978-3-319-05221-2
- Copyright Information Springer International Publishing Switzerland 2015
- Publisher Name Springer, Cham
- eBook Packages Mathematics and Statistics Mathematics and Statistics (R0)
- Print ISBN 978-3-319-05220-5
- Online ISBN 978-3-319-05221-2
- Series Print ISSN 2039-1471
- Series Online ISSN 2039-148X
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- Industry Sectors
- Finance, Business & Banking