Name: Affine Diffusions and Related Processes: Simulation, Theory and Applications
Price: 783.95 DKK
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Author: Aurelien Alfonsi
ISBN: 9783319382548

Affine Diffusions and Related Processes: Simulation, Theory and Applications af Aurelien Alfonsi

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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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Sprog:
Engelsk

ISBN:
9783319382548

Forlag:
Springer International Publishing AG

Indbinding:
Paperback

Sideantal:
252

Udgivet:
17. oktober 2016

Udgave:
12015

Størrelse:
235x155x14 mm.

Vægt:
4102 g.

Leveringstid: 8-11 hverdage.
Forventet levering: 6. december 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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