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Affine Diffusions and Related Processes: Simulation, Theory and Applications - Bocconi & Springer Series Aurelien Alfonsi 2015 edition
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Affine Diffusions and Related Processes: Simulation, Theory and Applications - Bocconi & Springer Series
Aurelien Alfonsi
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
| Medios de comunicación | Libros Hardcover Book (Libro con lomo y cubierta duros) |
| Publicado | 13 de mayo de 2015 |
| ISBN13 | 9783319052205 |
| Editores | Springer International Publishing AG |
| Páginas | 252 |
| Dimensiones | 164 × 246 × 19 mm · 542 g |
| Lengua | Francés |
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