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Affine Diffusions and Related Processes: Simulation, Theory and Applications

Bag om Affine Diffusions and Related Processes: Simulation, Theory and Applications

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.

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  • Sprog:
  • Engelsk
  • ISBN:
  • 9783319052205
  • Indbinding:
  • Hardback
  • Sideantal:
  • 252
  • Udgivet:
  • 13. maj 2015
  • Udgave:
  • 2015
  • Størrelse:
  • 164x246x19 mm.
  • Vægt:
  • 542 g.
  • 8-11 hverdage.
  • 23. november 2024
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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.

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