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Affine Diffusions and Related Processes: Simulation, Theory and Applications

Om 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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  • Språk:
  • Engelsk
  • ISBN:
  • 9783319052205
  • Bindende:
  • Hardback
  • Sider:
  • 252
  • Utgitt:
  • 13 mai 2015
  • Utgave:
  • 2015
  • Dimensjoner:
  • 164x246x19 mm.
  • Vekt:
  • 542 g.
  Gratis frakt
Leveringstid: 2-4 uker
Forventet levering: 23 juli 2024

Beskrivelse av 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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