Affine Diffusions and Related Processes: Simulation, Theory and Applications - Softcover

Book 6 of 9: Bocconi & Springer Series

Alfonsi, Aurélien

 
9783319052229: Affine Diffusions and Related Processes: Simulation, Theory and Applications
Softcover
ISBN 10: 3319052225 ISBN 13: 9783319052229
Publisher: Springer, 2015

This specific ISBN edition is currently not available.

Synopsis

1 Real valued affine diffusions.- 2 An introduction to simulation schemes for SDEs.- 3 Simulation of the CIR process.- 4 The Heston model and multidimensional affine diffusions.- 5 Wishart processes and affine diffusions on positive semidefinite matrices.- 6 Processes of Wright-Fisher type.- 7 Appendix A Some results on matrices.- 8 Appendix B Simulation of a gamma random variable.

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Publisher
Springer
Publication date
2015
Language
English
ISBN 10 
3319052225
ISBN 13 
9783319052229
Binding
Paperback
Number of pages
268

Other Popular Editions of the Same Title

9783319052205: Affine Diffusions and Related Processes: Simulation, Theory and Applications (Bocconi & Springer Series, 6)

Featured Edition

ISBN 10:  3319052209 ISBN 13:  9783319052205
Publisher: Springer, 2015
Hardcover