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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.
Get Affine Diffusions and Related Processes by at the best price and quality guaranteed only at Werezi Africa's largest book ecommerce store. The book was published by Springer International Publishing AG and it has pages.
