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Affine Diffusions and Related Processes: Simulation, Theory and Applications
Aurélien Alfonsi
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...

Editeur : Springer
Parution : 2015-04-30
Collection : Bocconi & Springer Series
PDF, ePub

52,74 €