Affine diffusions and related processes: simulation, theory and applications
Auteur :
Alfonsi, Aurélien
Éditeur :
Springer International Publishing AG
ISBN :
9783319052205
Date de publication :
13 mai 2015
Dimensions :
23,5 x 15,5 cm
Langue :
Anglais
Pays d'origine :
Suisse
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.