Overview
- 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
Part of the book series: Bocconi & Springer Series (BS, volume 6)
Access this book
Tax calculation will be finalised at checkout
Other ways to access
Table of contents (6 chapters)
-
Front Matter
-
Back Matter
Keywords
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.
Reviews
“The author provides an up-to-date treatment of simulations of affine diffusions and some related processes, from theory down to explicit algorithms. For readers familiar with stochastic analysis of diffusions, the book is self-contained. … the book will a useful for anyone interested in current perspectives of modelling the price of financial assets, in theory as well as practical application.” (Heinrich Hering, zbMATH 1387.60002, 2018)
“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)
Authors and Affiliations
About the author
Bibliographic Information
Book Title: Affine Diffusions and Related Processes: Simulation, Theory and Applications
Authors: Aurélien Alfonsi
Series Title: Bocconi & Springer Series
DOI: https://doi.org/10.1007/978-3-319-05221-2
Publisher: Springer Cham
eBook Packages: Mathematics and Statistics, Mathematics and Statistics (R0)
Copyright Information: Springer International Publishing Switzerland 2015
Hardcover ISBN: 978-3-319-05220-5Published: 13 May 2015
Softcover ISBN: 978-3-319-38254-8Published: 17 October 2016
eBook ISBN: 978-3-319-05221-2Published: 30 April 2015
Series ISSN: 2039-1471
Series E-ISSN: 2039-148X
Edition Number: 1
Number of Pages: XIII, 252
Number of Illustrations: 1 b/w illustrations, 16 illustrations in colour
Topics: Quantitative Finance, Statistics for Business, Management, Economics, Finance, Insurance, Probability Theory and Stochastic Processes, Computational Mathematics and Numerical Analysis, Mathematical and Computational Biology