Affine diffusions and related processes : simulation, theory and applications /: simulation, theory and applications. (2015)

• Record Type: Book
• Further Information: Note: Aurélien Alfonsi.
• Authors: Alfonsi, Aurélien
• Contents: 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.
• Publisher Details: Cham : Springer
• Publication Date: 2015
• Extent: 1 online resource (xiii, 252 pages), illustrations (some color)
• Subjects: 519.2/33; Mathematics; Diffusion processes; Approximation theory; Matrices; Finance; Statistics; Distribution (Probability theory); Computer science -- Mathematics; MATHEMATICS -- Applied; MATHEMATICS -- Probability & Statistics -- General; Approximation theory; Diffusion processes; Matrices; Business & Economics -- Statistics; Mathematics -- Probability & Statistics -- General; Mathematics -- Counting & Numeration; Probability & statistics; Numerical analysis; Maths for scientists; Finance & accounting; Mathematics; Electronic books
• Languages: English
• ISBNs: 9783319052212; 3319052217; 3319052209; 9783319052205
• Related ISBNs: 9783319052205
• Notes: Note: Includes bibliographical references and index.; Note: Online resource; title from PDF title page (SpringerLink, viewed May 7, 2015).
• Access Rights: Legal Deposit; Only available on premises controlled by the deposit library and to one user at any one time; The Legal Deposit Libraries (Non-Print Works) Regulations (UK).
• Access Usage: Restricted: Printing from this resource is governed by The Legal Deposit Libraries (Non-Print Works) Regulations (UK) and UK copyright law currently in force.