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서지주요정보
Affine Diffusions and Related Processes: Simulation, Theory and Applications
서명 / 저자 Affine Diffusions and Related Processes: Simulation, Theory and Applications [electronic resource] / by Aur챕lien Alfonsi.
저자명 Alfonsi, Aur챕lien. author.
단체명 SpringerLink (Online service)
발행사항 Cham : Springer International Publishing : Imprint: Springer, 2015.
총서명 Bocconi & Springer Series, Mathematics, Statistics, Finance and Economics, 2039-1471 ; 6
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서지기타정보

서지기타정보
ISBN 9783319052212
기타 표준번호 10.1007/978-3-319-05221-2
청구기호 HB135-147
형태사항 XIII, 252 p. 17 illus., 16 illus. in color. online resource.
언어 English
내용 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.
주제 Mathematics.
Economics, Mathematical.
Computer mathematics.
Probabilities.
Biomathematics.
Statistics.
Mathematics.
Quantitative Finance.
Statistics for Business/Economics/Mathematical Finance/Insurance.
Probability Theory and Stochastic Processes.
Computational Mathematics and Numerical Analysis.
Mathematical and Computational Biology.
보유판 및 특별호 저록 Springer eBooks
Printed edition: 9783319052205
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