Bocconi & Springer Series - Affine Diffusions and Related Processes: Simulation, Theory and Applications
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6

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1

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Published By Springer International Publishing

9783319052205, 9783319052212

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The Heston Model and Multidimensional Affine Diffusions

Bocconi & Springer Series - Affine Diffusions and Related Processes: Simulation, Theory and Applications ◽

10.1007/978-3-319-05221-2_4 ◽

2015 ◽

pp. 93-121

Author(s):

Aurélien Alfonsi

Keyword(s):

Heston Model ◽

Multidimensional Affine

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An Introduction to Simulation Schemes for SDEs

Bocconi & Springer Series - Affine Diffusions and Related Processes: Simulation, Theory and Applications ◽

10.1007/978-3-319-05221-2_2 ◽

2015 ◽

pp. 37-66

Author(s):

Aurélien Alfonsi

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Simulation of the CIR Process

Bocconi & Springer Series - Affine Diffusions and Related Processes: Simulation, Theory and Applications ◽

10.1007/978-3-319-05221-2_3 ◽

2015 ◽

pp. 67-92 ◽

Author(s):

Aurélien Alfonsi

Keyword(s):

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Wishart Processes and Affine Diffusions on Positive Semidefinite Matrices

Bocconi & Springer Series - Affine Diffusions and Related Processes: Simulation, Theory and Applications ◽

10.1007/978-3-319-05221-2_5 ◽

2015 ◽

pp. 123-182

Author(s):

Aurélien Alfonsi

Keyword(s):

Positive Semidefinite ◽

Positive Semidefinite Matrices ◽

Wishart Processes

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Processes of Wright-Fisher Type

Bocconi & Springer Series - Affine Diffusions and Related Processes: Simulation, Theory and Applications ◽

10.1007/978-3-319-05221-2_6 ◽

2015 ◽

pp. 183-234

Author(s):

Aurélien Alfonsi

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Real Valued Affine Diffusions

Bocconi & Springer Series - Affine Diffusions and Related Processes: Simulation, Theory and Applications ◽

10.1007/978-3-319-05221-2_1 ◽

2015 ◽

pp. 1-36 ◽

Author(s):

Aurélien Alfonsi

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