Affine Diffusions and Related Processes: Simulation, Theory and Applications (Bog, Hardback, Engelsk) af Aurelien Alfonsi
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Affine Diffusions and Related Processes: Simulation, Theory and Applications

(Bog, Hardback, Engelsk)
Forfatter: Aurelien Alfonsi
Affine Diffusions and Related Processes: Simulation, Theory and Applications
Forlag: Springer International Publishing AG

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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.

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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; XIII, 252 p. 17 illus., 16 illus. in color.
Originalsprog Switzerland
Sideantal 252
Indbinding Hardback
Forlag Springer International Publishing AG
Sideoplysninger 252 pages, 16 Illustrations, color; 1 Illustrations, black and white; XIII, 252 p. 17 illus., 16 ill
Mål 246 x 164 x 19
ISBN-13 / EAN-13 9783319052205