Affine Diffusions and Related Processes: Simulation, Theory and Applications - Bocconi & Springer Series - Aurelien Alfonsi - Books - Springer International Publishing AG - 9783319382548 - October 17, 2016
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Aurelien Alfonsi
Affine Diffusions and Related Processes: Simulation, Theory and Applications - Bocconi & Springer Series Softcover reprint of the original 1st ed. 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.

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

Media Books     Paperback Book   (Book with soft cover and glued back)
Released October 17, 2016
ISBN13 9783319382548
Publishers Springer International Publishing AG
Pages 252
Dimensions 155 × 235 × 14 mm   ·   381 g
Language German  

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