Aurélien Alfonsi – författare
Visar alla böcker från författaren Aurélien Alfonsi. Handla med fri frakt och snabb leverans.
3 produkter
3 produkter
Del 6 - Bocconi & Springer Series
Affine Diffusions and Related Processes: Simulation, Theory and Applications
Inbunden, Engelska, 2015
544 kr
Skickas inom 10-15 vardagar
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.
E-bok
PDF, Engelska, 2015687 kr
Läs direkt efter köp
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.
Del 6 - Bocconi & Springer Series
Affine Diffusions and Related Processes: Simulation, Theory and Applications
Häftad, Engelska, 2016
544 kr
Skickas inom 10-15 vardagar
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.