Affine Diffusions and Related Processes: Simulation, Theory and Applications - Bocconi & Springer Series - Aurelien Alfonsi - Books - Springer International Publishing AG - 9783319052205 - May 13, 2015
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Aurelien Alfonsi
Affine Diffusions and Related Processes: Simulation, Theory and Applications - Bocconi & Springer Series 2015 edition

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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.

200 pages, 1 black & white illustrations, 16 colour illustrations, 5 black & white tables, biography

Media Books     Hardcover Book   (Book with hard spine and cover)
Released May 13, 2015
ISBN13 9783319052205
Publishers Springer International Publishing AG
Pages 252
Dimensions 164 × 246 × 19 mm   ·   542 g
Language French  

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