Full Product Details
Author: Aurélien Alfonsi
Publisher: Springer International Publishing AG
Imprint: Springer International Publishing AG
Edition: Softcover reprint of the original 1st ed. 2015
Volume: 6
Dimensions:
Width: 15.50cm
, Height: 1.40cm
, Length: 23.50cm
Weight: 4.102kg
ISBN: 9783319382548
ISBN 10: 3319382543
Pages: 252
Publication Date: 17 October 2016
Audience:
Professional and scholarly
,
Professional & Vocational
Format: Paperback
Publisher's Status: Active
Availability: In Print
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Reviews
It is written for students and researchers working in mathematical finance, but it should also be of interest to all those working with numerical methods in probability. I should add that the text is mathematically sound, carefully written and highly accessible for the novice ... . Using this text for lectures and seminars is definitely an option. ... it is a valuable source for students, scholars and practitioners interested in affine diffusion models. (Rene L. Schilling, Mathematical Reviews, March, 2016) This academic text is very well written and organized. ... reader can find in this book an explanation of the mathematical background to understand affine diffusions and related processes and analyze the accuracy of the schemes. ... This is a very interesting book adequate to support Master or PhD courses in Stochastic Processes, dealing very cleverly with the Affine Diffusions and Related Processes and the respective simulation. ... it is accessible to larger audiences and very useful for finance professionals. (Manuel Alberto M. Ferreira, Acta Scientia et Intelectus, Vol. 1 (1), 2015)
The author provides an up-to-date treatment of simulations of affine diffusions and some related processes, from theory down to explicit algorithms. For readers familiar with stochastic analysis of diffusions, the book is self-contained. ... the book will a useful for anyone interested in current perspectives of modelling the price of financial assets, in theory as well as practical application. (Heinrich Hering, zbMATH 1387.60002, 2018) It is written for students and researchers working in mathematical finance, but it should also be of interest to all those working with numerical methods in probability. I should add that the text is mathematically sound, carefully written and highly accessible for the novice ... . Using this text for lectures and seminars is definitely an option. ... it is a valuable source for students, scholars and practitioners interested in affine diffusion models. (Rene L. Schilling, Mathematical Reviews, March, 2016) This academic text is very well written and organized. ... reader can find in this book an explanation of the mathematical background to understand affine diffusions and related processes and analyze the accuracy of the schemes. ... This is a very interesting book adequate to support Master or PhD courses in Stochastic Processes, dealing very cleverly with the Affine Diffusions and Related Processes and the respective simulation. ... it is accessible to larger audiences and very useful for finance professionals. (Manuel Alberto M. Ferreira, Acta Scientia et Intelectus, Vol. 1 (1), 2015)
Author Information
Aurélien Alfonsi, Researcher on Stochastic Calculus and Finance at the CERMICS.
