By Aurélien Alfonsi
This publication offers an outline of affine diffusions, from Ornstein-Uhlenbeck methods to Wishart procedures and it considers a few comparable diffusions corresponding to Wright-Fisher methods. It makes a speciality of various simulation schemes for those strategies, particularly second-order schemes for the vulnerable blunders. It additionally offers a few versions, quite often within the box of finance, the place those equipment are suitable and offers a few numerical experiments.
The booklet explains the mathematical historical past to appreciate affine diffusions and learn 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