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Affine Diffusions and Related Processes: Simulation, Theory - download pdf or read online

By Aurélien Alfonsi

This publication offers an summary of affine diffusions, from Ornstein-Uhlenbeck procedures to Wishart strategies and it considers a few comparable diffusions akin to Wright-Fisher techniques. It makes a speciality of diverse simulation schemes for those strategies, particularly second-order schemes for the susceptible errors. It additionally offers a few versions, generally within the box of finance, the place those equipment are correct and offers a few numerical experiments.

The publication explains the mathematical history to appreciate affine diffusions and research the accuracy of the schemes.

 

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Affine Diffusions and Related Processes: Simulation, Theory and Applications (Bocconi & Springer Series) by Aurélien Alfonsi


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