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Affine Diffusions and Related Processes: Simulation, Theory and Applications

  • Aurélien Alfonsi

Part of the Bocconi & Springer Series book series (BS, volume 6)

Table of contents

  1. Front Matter
    Pages i-xiii
  2. Aurélien Alfonsi
    Pages 1-36
  3. Aurélien Alfonsi
    Pages 37-66
  4. Aurélien Alfonsi
    Pages 67-92
  5. Aurélien Alfonsi
    Pages 183-234
  6. Back Matter
    Pages 235-252

About this book

Introduction

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.

 

Keywords

Affine diffusions Cox-Ingersoll-Ross process Heston model Simulation schemes Wishart process

Authors and affiliations

  • Aurélien Alfonsi
    • 1
  1. 1.CERMICSEcole Nationale des Ponts et ChausséesChamps-sur-MarneFrance

Bibliographic information

  • 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
  • Print ISBN 978-3-319-05220-5
  • Online ISBN 978-3-319-05221-2
  • Series Print ISSN 2039-1471
  • Series Online ISSN 2039-148X
  • Buy this book on publisher's site
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