Affine Diffusions and Related Processes: Simulation, Theory and Applications

✍ Scribed by Aurélien Alfonsi (auth.)

Publisher: Springer International Publishing
Year: 2015
Tongue: English
Leaves: 264
Series: Bocconi & Springer Series 6
Edition: 1
Category: Library

No coin nor oath required. For personal study only.

✦ Synopsis

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.

✦ Table of Contents

Front Matter....Pages i-xiii
Real Valued Affine Diffusions....Pages 1-36
An Introduction to Simulation Schemes for SDEs....Pages 37-66
Simulation of the CIR Process....Pages 67-92
The Heston Model and Multidimensional Affine Diffusions....Pages 93-121
Wishart Processes and Affine Diffusions on Positive Semidefinite Matrices....Pages 123-182
Processes of Wright-Fisher Type....Pages 183-234
Back Matter....Pages 235-252

✦ Subjects

Quantitative Finance; Statistics for Business/Economics/Mathematical Finance/Insurance; Probability Theory and Stochastic Processes; Computational Mathematics and Numerical Analysis; Mathematical and Computational Biology

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