Code: 02465577

Affine Diffusions and Related Processes: Simulation, Theory and Applications

Name: Affine Diffusions and Related Processes: Simulation, Theory and Applications
Brand: Springer International Publishing AG
SKU: 02465577
Price: 51.56 EUR
Availability: InStock
Author: Aurelien Alfonsi
ISBN: 9783319052205

by Aurelien Alfonsi

Language: English
Binding: Hardback
Number of pages: 252
Publisher: Springer International Publishing AG, 2015
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Book synopsis

The scope of this book is to give an overview of affine diffusions, from Ornstein-Uhlenbeck processes to Wishart processes. It will also present related mean-reverting processes that take values in the set of correlation matrices. There will be a particular emphasis on simulation methods for these diffusions. These methods are necessary to get a practical use of these processes. We will also present some models in mathematical finance that use these diffusions. Numerical illustrations will be given on some practical examples.

Book details

Book category Books in English Mathematics & science Mathematics Calculus & mathematical analysis

51.56 €

Full title: Affine Diffusions and Related Processes: Simulation, Theory and Applications
Author: Aurelien Alfonsi
Language: English
Binding: Hardback
Number of pages: 252
EAN: 9783319052205
ISBN: 3319052209
ID: 02465577
Publisher: Springer International Publishing AG
Weight: 542 g
Dimensions: 246 × 164 × 19 mm
Date of publishing: 01. May 2015