By Aurélien Alfonsi
This e-book provides an outline of affine diffusions, from Ornstein-Uhlenbeck strategies to Wishart approaches and it considers a few comparable diffusions equivalent to Wright-Fisher approaches. It makes a speciality of varied simulation schemes for those tactics, specially second-order schemes for the susceptible blunders. It additionally provides a few versions, usually within the box of finance, the place those tools are appropriate and offers a few numerical experiments.
The e-book explains the mathematical history to appreciate affine diffusions and study the accuracy of the schemes.
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Extra info for Affine Diffusions and Related Processes: Simulation, Theory and Applications (Bocconi & Springer Series)
Affine Diffusions and Related Processes: Simulation, Theory and Applications (Bocconi & Springer Series) by Aurélien Alfonsi