@article{726908,
      recid = {726908},
      author = {Alfonsi, Aurélien,},
      title = {Affine diffusions and related processes simulation, theory  and applications / [electronic resource] :},
      pages = {1 online resource (xiii, 252 pages) :},
      abstract = {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 relevant and  provides some numerical experiments. The book explains the  mathematical background to understand affine diffusions and  analyze the accuracy of the schemes.},
      url = {http://library.usi.edu/record/726908},
      doi = {https://doi.org/10.1007/978-3-319-05221-2},
}