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Bocconi & Springer Series

Affine Diffusions and Related Processes: Simulation, Theory and Applications

Authors: Alfonsi, Aurélien

  • Self contained and clear overview on affine diffusions
  • Presents the latest algorithms for simulating these processes and compares their efficiency
  • Explains and shows why and how these processes are used in Quantitative Finance
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Buy this book

eBook $79.99
price for USA (gross)
  • ISBN 978-3-319-05221-2
  • Digitally watermarked, DRM-free
  • Included format: EPUB, PDF
  • ebooks can be used on all reading devices
  • Immediate eBook download after purchase
Hardcover $109.00
price for USA
  • ISBN 978-3-319-05220-5
  • Free shipping for individuals worldwide
  • Usually dispatched within 3 to 5 business days.
Softcover $109.00
price for USA
  • Customers within the U.S. and Canada please contact Customer Service at 1-800-777-4643, Latin America please contact us at +1-212-460-1500 (Weekdays 8:30am – 5:30pm ET) to place your order.
  • Due: November 3, 2016
  • ISBN 978-3-319-38254-8
  • Free shipping for individuals worldwide
About this book

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.

 

About the authors

Aurélien Alfonsi, Researcher on Stochastic Calculus and Finance at the CERMICS.

Reviews

“It is written for students and researchers working in mathematical finance, but it should also be of interest to all those working with numerical methods in probability. I should add that the text is mathematically sound, carefully written and highly accessible for the novice … . Using this text for lectures and seminars is definitely an option. … it is a valuable source for students, scholars and practitioners interested in affine diffusion models.” (René L. Schilling, Mathematical Reviews, March, 2016)

“This academic text is very well written and organized. … reader can find in this book an explanation of the mathematical background to understand affine diffusions and related processes and analyze the accuracy of the schemes. … This is a very interesting book adequate to support Master or PhD courses in Stochastic Processes, dealing very cleverly with the Affine Diffusions and Related Processes and the respective simulation. … it is accessible to larger audiences and very useful for finance professionals.” (Manuel Alberto M. Ferreira, Acta Scientia et Intelectus, Vol. 1 (1), 2015)


Table of contents (6 chapters)

  • Real Valued Affine Diffusions

    Alfonsi, Aurélien

    Pages 1-36

  • An Introduction to Simulation Schemes for SDEs

    Alfonsi, Aurélien

    Pages 37-66

  • Simulation of the CIR Process

    Alfonsi, Aurélien

    Pages 67-92

  • The Heston Model and Multidimensional Affine Diffusions

    Alfonsi, Aurélien

    Pages 93-121

  • Wishart Processes and Affine Diffusions on Positive Semidefinite Matrices

    Alfonsi, Aurélien

    Pages 123-182

Buy this book

eBook $79.99
price for USA (gross)
  • ISBN 978-3-319-05221-2
  • Digitally watermarked, DRM-free
  • Included format: EPUB, PDF
  • ebooks can be used on all reading devices
  • Immediate eBook download after purchase
Hardcover $109.00
price for USA
  • ISBN 978-3-319-05220-5
  • Free shipping for individuals worldwide
  • Usually dispatched within 3 to 5 business days.
Softcover $109.00
price for USA
  • Customers within the U.S. and Canada please contact Customer Service at 1-800-777-4643, Latin America please contact us at +1-212-460-1500 (Weekdays 8:30am – 5:30pm ET) to place your order.
  • Due: November 3, 2016
  • ISBN 978-3-319-38254-8
  • Free shipping for individuals worldwide
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Bibliographic Information

Bibliographic Information
Book Title
Affine Diffusions and Related Processes: Simulation, Theory and Applications
Authors
Series Title
Bocconi & Springer Series
Series Volume
6
Copyright
2015
Publisher
Springer International Publishing
Copyright Holder
Springer International Publishing Switzerland
eBook ISBN
978-3-319-05221-2
DOI
10.1007/978-3-319-05221-2
Hardcover ISBN
978-3-319-05220-5
Softcover ISBN
978-3-319-38254-8
Series ISSN
2039-1471
Edition Number
1
Number of Pages
XIII, 252
Number of Illustrations and Tables
1 b/w illustrations, 16 illustrations in colour
Topics