LIBROS DEL AUTOR: aurelien alfonsi

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  • Affine Diffusions and Related Processes
    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 schemes for the weak error. It also presents some models, mostly in the field of finance, where these methods are...
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