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Viac informácií o knihe Affine Diffusions and Related Processes: Simulation, Theory and Applications

• Parametre knihy
• Anotácia kniha
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Anotácia knihy

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.

Parametre knihy

Zaradenie knihy Knihy po anglicky Mathematics & science Mathematics Calculus & mathematical analysis

• Celý názov: Affine Diffusions and Related Processes: Simulation, Theory and Applications
• Autor: Aurelien Alfonsi
• Jazyk: Angličtina
• Väzba: Pevná
• Počet strán: 252
• EAN: 9783319052205
• ISBN: 3319052209
• ID: 02465577
• Nakladateľ: Springer International Publishing AG
• Hmotnosť: 542 g
• Rozmery: 246 × 164 × 19 mm
• Dátum vydania: 01. May 2015

Obľúbené z iného súdka

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