Affine Diffusions and Related Processes: Simulation, Theory and Applications
-15%
portes grátis
Affine Diffusions and Related Processes: Simulation, Theory and Applications
Alfonsi, Aurelien
Springer International Publishing AG
10/2016
252
Mole
Inglês
9783319382548
15 a 20 dias
4102
Descrição não disponível.
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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Affine diffusions;Cox-Ingersoll-Ross process;Heston model;Simulation schemes;Wishart process;quantitative finance
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.
Este título pertence ao(s) assunto(s) indicados(s). Para ver outros títulos clique no assunto desejado.
