Affine diffusions and related processes: simulation, theory and applications:
Saved in:
| Main Author: | |
|---|---|
| Format: | Electronic eBook |
| Language: | English |
| Published: |
[Milano]
Bocconi Univ. Press
2015
Cham [u.a.] Springer |
| Series: | Bocconi & Springer series
6 |
| Subjects: | |
| Online Access: | BTU01 FRO01 TUM01 UBM01 UBT01 UBW01 UPA01 Volltext Inhaltsverzeichnis Abstract |
| Physical Description: | 1 Online-Ressource (XIII, 252 S.) 17 illus., 16 illus. in color |
| ISBN: | 9783319052212 |
| ISSN: | 2039-1471 |
| DOI: | 10.1007/978-3-319-05221-2 |
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Record in the Search Index
| _version_ | 1804153309696622592 |
|---|---|
| adam_text | AFFINE DIFFUSIONS AND RELATED PROCESSES: SIMULATION, THEORY AND
APPLICATIONS
/ ALFONSI, AURELIEN
: 2015
TABLE OF CONTENTS / INHALTSVERZEICHNIS
1 REAL VALUED AFFINE DIFFUSIONS
2 AN INTRODUCTION TO SIMULATION SCHEMES FOR SDES
3 SIMULATION OF THE CIR PROCESS
4 THE HESTON MODEL AND MULTIDIMENSIONAL AFFINE DIFFUSIONS
5 WISHART PROCESSES AND AFFINE DIFFUSIONS ON POSITIVE SEMIDEFINITE
MATRICES
6 PROCESSES OF WRIGHT-FISHER TYPE
7 APPENDIX A SOME RESULTS ON MATRICES
8 APPENDIX B SIMULATION OF A GAMMA RANDOM VARIABLE
DIESES SCHRIFTSTUECK WURDE MASCHINELL ERZEUGT.
AFFINE DIFFUSIONS AND RELATED PROCESSES: SIMULATION, THEORY AND
APPLICATIONS
/ ALFONSI, AURELIEN
: 2015
ABSTRACT / INHALTSTEXT
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.
DIESES SCHRIFTSTUECK WURDE MASCHINELL ERZEUGT.
|
| any_adam_object | 1 |
| author | Alfonsi, Aurélien 1979- |
| author_GND | (DE-588)1071606506 |
| author_facet | Alfonsi, Aurélien 1979- |
| author_role | aut |
| author_sort | Alfonsi, Aurélien 1979- |
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| building | Verbundindex |
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| classification_tum | MAT 000 |
| collection | ZDB-2-SMA |
| ctrlnum | (OCoLC)910638051 (DE-599)BVBBV042544298 |
| dewey-full | 519 |
| dewey-hundreds | 500 - Natural sciences and mathematics |
| dewey-ones | 519 - Probabilities and applied mathematics |
| dewey-raw | 519 |
| dewey-search | 519 |
| dewey-sort | 3519 |
| dewey-tens | 510 - Mathematics |
| discipline | Mathematik Wirtschaftswissenschaften |
| doi_str_mv | 10.1007/978-3-319-05221-2 |
| format | Electronic eBook |
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| indexdate | 2024-07-10T01:24:34Z |
| institution | BVB |
| isbn | 9783319052212 |
| issn | 2039-1471 |
| language | English |
| oai_aleph_id | oai:aleph.bib-bvb.de:BVB01-027978304 |
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| spelling | Alfonsi, Aurélien 1979- Verfasser (DE-588)1071606506 aut Affine diffusions and related processes: simulation, theory and applications Aurélien Alfonsi [Milano] Bocconi Univ. Press 2015 Cham [u.a.] Springer 1 Online-Ressource (XIII, 252 S.) 17 illus., 16 illus. in color txt rdacontent c rdamedia cr rdacarrier Bocconi & Springer series 6 2039-1471 Mathematics Finance Computer science / Mathematics Distribution (Probability theory) Economics / Statistics Quantitative Finance Statistics for Business/Economics/Mathematical Finance/Insurance Probability Theory and Stochastic Processes Computational Mathematics and Numerical Analysis Mathematical and Computational Biology Informatik Mathematik Statistik Wirtschaft Erscheint auch als Druckausgabe 978-3-319-05220-5 Bocconi & Springer series 6 (DE-604)BV045202696 6 https://doi.org/10.1007/978-3-319-05221-2 Verlag Volltext Springer Fremddatenuebernahme application/pdf http://bvbr.bib-bvb.de:8991/F?func=service&doc_library=BVB01&local_base=BVB01&doc_number=027978304&sequence=000001&line_number=0001&func_code=DB_RECORDS&service_type=MEDIA Inhaltsverzeichnis Springer Fremddatenuebernahme application/pdf http://bvbr.bib-bvb.de:8991/F?func=service&doc_library=BVB01&local_base=BVB01&doc_number=027978304&sequence=000003&line_number=0002&func_code=DB_RECORDS&service_type=MEDIA Abstract |
| spellingShingle | Alfonsi, Aurélien 1979- Affine diffusions and related processes: simulation, theory and applications Bocconi & Springer series Mathematics Finance Computer science / Mathematics Distribution (Probability theory) Economics / Statistics Quantitative Finance Statistics for Business/Economics/Mathematical Finance/Insurance Probability Theory and Stochastic Processes Computational Mathematics and Numerical Analysis Mathematical and Computational Biology Informatik Mathematik Statistik Wirtschaft |
| title | Affine diffusions and related processes: simulation, theory and applications |
| title_auth | Affine diffusions and related processes: simulation, theory and applications |
| title_exact_search | Affine diffusions and related processes: simulation, theory and applications |
| title_full | Affine diffusions and related processes: simulation, theory and applications Aurélien Alfonsi |
| title_fullStr | Affine diffusions and related processes: simulation, theory and applications Aurélien Alfonsi |
| title_full_unstemmed | Affine diffusions and related processes: simulation, theory and applications Aurélien Alfonsi |
| title_short | Affine diffusions and related processes: simulation, theory and applications |
| title_sort | affine diffusions and related processes simulation theory and applications |
| topic | Mathematics Finance Computer science / Mathematics Distribution (Probability theory) Economics / Statistics Quantitative Finance Statistics for Business/Economics/Mathematical Finance/Insurance Probability Theory and Stochastic Processes Computational Mathematics and Numerical Analysis Mathematical and Computational Biology Informatik Mathematik Statistik Wirtschaft |
| topic_facet | Mathematics Finance Computer science / Mathematics Distribution (Probability theory) Economics / Statistics Quantitative Finance Statistics for Business/Economics/Mathematical Finance/Insurance Probability Theory and Stochastic Processes Computational Mathematics and Numerical Analysis Mathematical and Computational Biology Informatik Mathematik Statistik Wirtschaft |
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