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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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| Lenguaje: | eng |
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Springer
2015
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| Acceso en línea: | https://dx.doi.org/10.1007/978-3-319-05221-2 http://cds.cern.ch/record/2015348 |