Affine Diffusions and Related Processes: Simulation, Theory and Applications
(Bog, Hardback, Engelsk)
Beskrivelse
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.
Læsernes anmeldelser (0)
Alle detaljer
| Forlag | Springer International Publishing AG |
| Forfatter | Aurelien Alfonsi |
| Type | Bog |
| Format | Hardback |
| Sprog | Engelsk |
| Udgave | 2015 ed. |
| Udgivelsesdato | 13-05-2015 |
| Første udgivelsesår | 2015 |
| Serie | Bocconi & Springer Series |
| Illustrationer | 16 Illustrations, color; 1 Illustrations, black and white |
| Originalsprog | Switzerland |
| Sideantal | 252 |
| Indbinding | Hardback |
| Forlag | Springer International Publishing AG |
| Sideoplysninger | 252 pages, 16 Illustrations, color; 1 Illustrations, black and white |
| Mål | 246 x 164 x 19 |
| ISBN-13 / EAN-13 | 9783319052205 |