Affine diffusions and related processes: simulation, theory and applications

DOI10.1007/978-3-319-05221-2zbMath1387.60002OpenAlexW4229908791MaRDI QIDQ2449312

Aurélien Alfonsi

Publication date: 7 May 2014

Published in: Bocconi \& Springer Series (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1007/978-3-319-05221-2

zbMATH Keywords

option pricingHeston modelmean-reverting processCox-Ingersoll-Ross processWishart processaffine diffusionsstock price volatilityWright-Fisher processaffine diffusions on matricesbasket of financial assetsdiscretization of affine diffusionspolynomial stochastic processesshort rate modelsimulation of affine diffusions

Mathematics Subject Classification ID

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