Affine Diffusions and Related Processes: Simulation, Theory and Applications Image close
Affine Diffusions and Related Processes: Simulation, Theory and Applications by Aurelien Alfonsi
Affine Diffusions and Related Processes: Simulation, Theory and Applications by Aurelien Alfonsi
Show Hide Adult Content
Affine Diffusions and Related Processes: Simulation, Theory and Applications close

Non-Fiction Books:

Home  
Books  
Non-Fiction  
Maths & Science  
Mathematics  
Calculus & mathematical analysis  
Infinite series

Affine Diffusions and Related Processes: Simulation, Theory and Applications

Click to share your rating 0 ratings (0.0/5.0 average) Thanks for your vote!

By:

Format:

Paperback / softback
$138.99
RRP:
$192.95 save $53.96
Available from supplier

The item is brand new and in-stock with one of our preferred suppliers. The item will ship from a Mighty Ape warehouse within the timeframe shown.

Usually ships in 3-4 weeks
0 in Trolley

Buy Now, Pay Later with:

4 payments of $34.75 with Afterpay Learn more

Availability

Delivering to:

Estimated arrival:

  • Around 11-21 June using International Courier

Explore more Bocconi and Springer Series

See all products in this series

Selected Topics in Malliavin Calculus by Laurent Decreusefond
$127.99
Selected Topics in Malliavin Calculus
by Laurent Decreusefond ~ Paperback / softback
Available - Usually ships in 3-4 weeks
Affine Diffusions and Related Processes: Simulation, Theory and Applications on Hardback by Aurelien Alfonsi Save $51
$140.99
$192.95
Affine Diffusions and Related Processes: Simulation, Theory and...
by Aurelien Alfonsi ~ Hardback
Available - Usually ships in 3-4 weeks
Selected Aspects of Fractional Brownian Motion on Hardback by Ivan Nourdin
$386.99
Selected Aspects of Fractional Brownian Motion
by Ivan Nourdin ~ Hardback
Available - Usually ships in 3-4 weeks
Stochastic Calculus via Regularizations by Francesco Russo
$436.99
Stochastic Calculus via Regularizations
by Francesco Russo ~ Paperback / softback
Available - Usually ships in 3-4 weeks
PDE and Martingale Methods in Option Pricing on Hardback by Andrea Pascucci
$307.99
PDE and Martingale Methods in Option Pricing
by Andrea Pascucci ~ Hardback
Available - Usually ships in 3-4 weeks
Parameter Estimation in Fractional Diffusion Models by Kestutis Kubilius
$317.99
Parameter Estimation in Fractional Diffusion Models
by Kestutis Kubilius ~ Paperback / softback
Available - Usually ships in 3-4 weeks
Stochastic Calculus via Regularizations on Hardback by Francesco Russo
$429.99
Stochastic Calculus via Regularizations
by Francesco Russo ~ Hardback
Available - Usually ships in 3-4 weeks
Asymptotic Analysis of Unstable Solutions of Stochastic Differential Equations on Hardback by Grigorij Kulinich Save $88
$137.99
$226.95
Asymptotic Analysis of Unstable Solutions of Stochastic Differential...
by Grigorij Kulinich ~ Hardback
Available - Usually ships in 3-4 weeks
Selected Topics in Malliavin Calculus on Hardback by Laurent Decreusefond
$127.99
Selected Topics in Malliavin Calculus
by Laurent Decreusefond ~ Hardback
Available - Usually ships in 3-4 weeks
Wiener Chaos: Moments, Cumulants and Diagrams on Hardback by Giovanni Peccati Save $85
$141.99
$227.95
Wiener Chaos: Moments, Cumulants and Diagrams
by Giovanni Peccati ~ Hardback
Available - Usually ships in 3-4 weeks
Stochastic Analysis for Poisson Point Processes
$341.99
Stochastic Analysis for Poisson Point Processes
Paperback / softback
Available - Usually ships in 3-4 weeks
Peacocks and Associated Martingales, with Explicit Constructions on Hardback by Francis Hirsch
$278.99
Peacocks and Associated Martingales, with Explicit Constructions
by Francis Hirsch ~ Hardback
Available - Usually ships in 3-4 weeks
Peacocks and Associated Martingales, with Explicit Constructions by Francis Hirsch
$272.99
$273.95
Peacocks and Associated Martingales, with Explicit Constructions
by Francis Hirsch ~ Paperback / softback
Available - Usually ships in 3-4 weeks
Selected Aspects of Fractional Brownian Motion by Ivan Nourdin
$386.99
Selected Aspects of Fractional Brownian Motion
by Ivan Nourdin ~ Paperback / softback
Available - Usually ships in 3-4 weeks
Asymptotic Analysis of Unstable Solutions of Stochastic Differential Equations by Grigorij Kulinich Save $7
$139.99
$147.95
Asymptotic Analysis of Unstable Solutions of Stochastic Differential...
by Grigorij Kulinich ~ Paperback / softback
Available - Usually ships in 3-4 weeks
Functionals of Multidimensional Diffusions with Applications to Finance by Jan Baldeaux Save $105
$143.99
$249.95
Functionals of Multidimensional Diffusions with Applications to...
by Jan Baldeaux ~ Paperback / softback
Available - Usually ships in 3-4 weeks

Description

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.  

Author Biography:

Aurélien Alfonsi, Researcher on Stochastic Calculus and Finance at the CERMICS.
Release date Australia
October 17th, 2016
Audience
  • Professional & Vocational
Edition
Softcover reprint of the original 1st ed. 2015
Illustrations
16 Illustrations, color; 1 Illustrations, black and white; XIII, 252 p. 17 illus., 16 illus. in color.
Pages
252
Dimensions
155x235x14
ISBN-13
9783319382548
Product ID
26203983

Customer reviews

Nobody has reviewed this product yet. You could be the first!

Write a Review

Marketplace listings

There are no Marketplace listings available for this product currently.
Already own it? Create a free listing and pay just 9% commission when it sells!

Sell Yours Here

Recommended for you

Recommended from your browsing history

Help & options

Filed under...

Books >
Non-Fiction >
Maths & Science >
Mathematics >
Calculus & mathematical analysis >
Infinite series
Books >
Business & Economics
Books >
Non-Fiction >
Maths & Science >
Mathematics >
Probability & statistics
Books >
Non-Fiction >
Maths & Science >
Mathematics >
Applied mathematics
Books >
Non-Fiction >
Maths & Science >
Mathematics >
Applied mathematics >
Stochastics
Books >
Non-Fiction >
Maths & Science >
Biology, life sciences >
Life sciences: general issues