By Aurélien Alfonsi
This ebook offers an outline of affine diffusions, from Ornstein-Uhlenbeck strategies to Wishart techniques and it considers a few similar diffusions resembling Wright-Fisher procedures. It specializes in assorted simulation schemes for those strategies, specifically second-order schemes for the susceptible blunders. It additionally provides a few types, 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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Affine Diffusions and Related Processes: Simulation, Theory and Applications (Bocconi & Springer Series) by Aurélien Alfonsi