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＜電子ブック＞
Affine Diffusions and Related Processes: Simulation, Theory and Applications / by Aurélien Alfonsi
(Bocconi & Springer Series, Mathematics, Statistics, Finance and Economics. ISSN:2039148X ; 6)

版	1st ed. 2015.
出版者	(Cham : Springer International Publishing : Imprint: Springer)
出版年	2015
本文言語	英語
大きさ	XIII, 252 p. 17 illus., 16 illus. in color : online resource
著者標目	*Alfonsi, Aurélien author SpringerLink (Online service)
件　名	LCSH:Social sciences -- Mathematics  全ての件名で検索 LCSH:Statistics  LCSH:Probabilities LCSH:Mathematics -- Data processing  全ての件名で検索 LCSH:Biomathematics FREE:Mathematics in Business, Economics and Finance FREE:Statistics in Business, Management, Economics, Finance, Insurance FREE:Probability Theory FREE:Computational Mathematics and Numerical Analysis FREE:Mathematical and Computational Biology
一般注記	1 Real valued affine diffusions -- 2 An introduction to simulation schemes for SDEs -- 3 Simulation of the CIR process -- 4 The Heston model and multidimensional affine diffusions -- 5 Wishart processes and affine diffusions on positive semidefinite matrices -- 6 Processes of Wright-Fisher type -- 7 Appendix A Some results on matrices -- 8 Appendix B Simulation of a gamma random variable 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. HTTP:URL=https://doi.org/10.1007/978-3-319-05221-2

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