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Affine Diffusions and Related Processes: Simulation, Theory and Applications

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Cover of 'Affine Diffusions and Related Processes: Simulation, Theory and Applications'

Table of Contents

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    Book Overview
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    Chapter 1 Real Valued Affine Diffusions
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    Chapter 2 An Introduction to Simulation Schemes for SDEs
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    Chapter 3 Simulation of the CIR Process
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    Chapter 4 The Heston Model and Multidimensional Affine Diffusions
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    Chapter 5 Wishart Processes and Affine Diffusions on Positive Semidefinite Matrices
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    Chapter 6 Processes of Wright-Fisher Type
Attention for Chapter 5: Wishart Processes and Affine Diffusions on Positive Semidefinite Matrices
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