株式会社極東書店トップ ＞ 商品一覧 ＞ Affine Diffusions and Related Processes : Simulation, Theory and Applications. 2015 ed..
商品詳細
Affine Diffusions and Related Processes : Simulation, Theory and Applications. 2015 ed..
・ISBN 978-3-319-05220-5 hard EUR 49.99
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| 著者・編者 | Alfonsi, Aurelien, |
|---|---|
| シリーズ | Bocconi & Springer Series |
| 出版社 | (Springer International Publishing AG, SZ) |
| 出版年月 | 2015 |
| ページ数 | 252 pp. |
| 言語 | ENG |
| ニュース番号 | ＜M25-23227＞ |
解説
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.