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Softcover - 9783319382548
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Beschreibung
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.
Details
| Verlag | Springer International Publishing |
| Ersterscheinung | 13. Mai 2015 |
| Maße | 23.5 cm x 15.5 cm |
| Gewicht | 571 Gramm |
| Format | Hardcover |
| ISBN-13 | 9783319052205 |
| Auflage | 2015 |
| Seiten | 252 |
Schlagwörter
Angewandte Mathematik, Computational Mathematics and Numerical Analysis, DV-gestützte Biologie/Bioinformatik, Mathematical and Computational Biology, Mathematics in Business - Economics and Finance, Numerische Mathematik, Probability Theory, Statistics in Business - Management - Economics - Finance - Insurance, Stochastik, Wahrscheinlichkeitsrechnung und Statistik, Wirtschaftswissenschaft - Finanzen - Betriebswirtschaft und Management
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