All listings for this product
Best-selling in Textbooks
Save on Textbooks
- AU $37.53Trending at AU $73.95
- AU $74.90Trending at AU $85.33
- AU $68.00Trending at AU $72.77
- AU $92.88Trending at AU $103.09
- AU $74.00Trending at AU $85.00
- AU $41.65Trending at AU $44.79
- AU $46.32Trending at AU $48.00
About this product
- DescriptionThis 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.
- Author BiographyAurelien Alfonsi, Researcher on Stochastic Calculus and Finance at the CERMICS.
- Author(s)Aurelien Alfonsi
- PublisherSpringer International Publishing AG
- Date of Publication01/05/2015
- Series TitleBocconi and Springer Series
- Series Part/Volume Number6
- Place of PublicationCham
- Country of PublicationSwitzerland
- ImprintSpringer International Publishing AG
- Content Note1 black & white illustrations, 16 colour illustrations, 5 black & white tables, biography
- Weight567 g
- Width155 mm
- Height235 mm
- Spine16 mm
This item doesn't belong on this page.
Thanks, we'll look into this.