عنوان
پدید آورنده
موضوع
رده
QA274.75
QA274
.
75
کتابخانه
محل استقرار
INTERNATIONAL STANDARD BOOK NUMBER
(Number (ISBN
3319052209 (alk. paper)
(Number (ISBN
3319052217
(Number (ISBN
9783319052205 (alk. paper)
(Number (ISBN
9783319052212
Erroneous ISBN
9783319052205
NATIONAL BIBLIOGRAPHY NUMBER
Number
dltt
TITLE AND STATEMENT OF RESPONSIBILITY
Title Proper
Affine diffusions and related processes :
General Material Designation
[Book]
Other Title Information
simulation, theory and applications /
First Statement of Responsibility
Aurélien Alfonsi
PHYSICAL DESCRIPTION
Specific Material Designation and Extent of Item
1 online resource (xiii, 252 pages) :
Other Physical Details
illustrations (some color).
SERIES
Series Title
Bocconi & Springer Series, Mathematics, Statistics, Finance and Economics,
Volume Designation
volume 6
ISSN of Series
2039-1471 ;
INTERNAL BIBLIOGRAPHIES/INDEXES NOTE
Text of Note
Includes bibliographical references and index
CONTENTS NOTE
Text of Note
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
0
SUMMARY OR ABSTRACT
Text of Note
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
OTHER EDITION IN ANOTHER MEDIUM
Title
Affine diffusions and related processes : simulation, theory and applications.
International Standard Book Number
9783319052205
TOPICAL NAME USED AS SUBJECT
Approximation theory.
Diffusion processes.
Matrices.
(SUBJECT CATEGORY (Provisional
MAT-- 003000
MAT-- 029000
DEWEY DECIMAL CLASSIFICATION
Number
519
.
2/33
Edition
23
LIBRARY OF CONGRESS CLASSIFICATION
Class number
QA274
.
75
PERSONAL NAME - PRIMARY RESPONSIBILITY
Alfonsi, Aurélien
CORPORATE BODY NAME - ALTERNATIVE RESPONSIBILITY
Ohio Library and Information Network.
ORIGINATING SOURCE
Date of Transaction
20150814093549.8
Cataloguing Rules (Descriptive Conventions))
pn
ELECTRONIC LOCATION AND ACCESS
Electronic name
مطالعه متن کتاب [Book]
Y
