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Affine Diffusions and Related Processes: Simulation, Theory and Applications
part of the Bocconi & Springer Series series
- Binding:
- Hardback
- Pages:
- 252
- Published:
- May 12, 2015
- Edition:
- 2015
- Dimensions:
- 164x246x19 mm.
- Weight:
- 542 g.
Delivery:
2-3 weeks
Expected delivery: January 15, 2025
Description of 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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