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Found 1 from your keywords: author=ALFONSI, Aurélien
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Affine Diffusions and Related Processes: Simulation, Theory and Applications
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ALFONSI, Aurélien

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. It also presents some models, mostly in the field of finance, where these methods are relevant and pro…

Edition
Ed. 1
ISBN/ISSN
978-3-319-05221-2
Collation
XIII, 252
Series Title
Bocconi & Springer Series
Call Number
330 ALF a