By Aurélien Alfonsi
This ebook offers an outline of affine diffusions, from Ornstein-Uhlenbeck techniques to Wishart procedures and it considers a few similar diffusions resembling Wright-Fisher methods. It makes a speciality of diversified simulation schemes for those strategies, specifically second-order schemes for the susceptible errors. It additionally offers a few types, as a rule within the box of finance, the place those equipment are appropriate and offers a few numerical experiments.
The e-book explains the mathematical history to appreciate affine diffusions and learn the accuracy of the schemes.
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Extra info for Affine Diffusions and Related Processes: Simulation, Theory and Applications (Bocconi & Springer Series)
Affine Diffusions and Related Processes: Simulation, Theory and Applications (Bocconi & Springer Series) by Aurélien Alfonsi