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Affine Diffusions And Related Processes: Simulation, Theory And Applications

by Aurelien Alfonsi
language: english
Publisher: Springer International Publishing AG, May of 2015 ‧
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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.

Affine Diffusions And Related Processes: Simulation, Theory And Applications

by Aurelien Alfonsi

Property Description
ISBN: 9783319052205
Publisher: Springer International Publishing AG
Release Date: May of 2015
Language: English
Dimensions: 164 x 246 x 19 mm
Cover: Hardcover
Pages: 252
Format: Book
Collection: Bocconi & Springer Series
Categories: Books in English > Science > Mathematics
EAN: 9783319052205

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