Affine Diffusions and Related Processes: Simulation, Theory and Applications
Aurelien Alfonsi
Springer International Publishing AG, 2015
66,50 €On orderDelivery: 2-3 weeks
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.
- ISBN-13
- 9783319052205
- ISBN-10
- 3319052209
- Publisher
- Springer International Publishing AG
- Year
- 2015
- Publication date
- 2015-05-13
- Pages
- 252
- Dimensions
- 246x164x19
- Weight
- 542