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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.
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Affine diffusions in practice: modelling and simulation, Aurelien Alfonsi
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- Released
- 2015
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- (Hardcover)
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