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.
- ISBN13 9783319052205
- Publish Date 13 May 2015 (first published 1 January 2015)
- Publish Status Active
- Publish Country CH
- Imprint Springer International Publishing AG
- Edition 2015 ed.
- Format Hardcover
- Pages 252
- Language English