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. It al...
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| Format: | Electronic eBook |
| Language: | English |
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Cham :
Springer International Publishing : Imprint: Springer,
2015.
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| Series: | Bocconi & Springer Series, Mathematics, Statistics, Finance and Economics,
6 |
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| Online Access: | Full Text via HEAL-Link |
