Semi-closed form cubature and applications to financial diffusion models (Q5397417): Difference between revisions

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+Ronnie Loeffen
@@ Property / author: Ronnie Loeffen / rank @@
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+MaRDI publication profile
@@ Property / MaRDI profile type: MaRDI publication profile / rank @@
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@@ Property / OpenAlex ID @@
+W2000698170
@@ Property / OpenAlex ID: W2000698170 / rank @@
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+.4818
@@ Property / arXiv ID: 1009.4818 / rank @@
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@@ Property / cites work @@
+High order discretization schemes for the CIR process: Application to affine term structure and Heston models
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@@ Property / cites work @@
+A LOW-BIAS SIMULATION SCHEME FOR THE SABR STOCHASTIC VOLATILITY MODEL
+Normal rank
@@ Property / cites work @@
+Multidimensional Stochastic Processes as Rough Paths
+Normal rank
@@ Property / cites work @@
+Q4004325
@@ Property / cites work: Q4004325 / rank @@
+Normal rank
@@ Property / cites work @@
+A comparison of biased simulation schemes for stochastic volatility models
+Normal rank
@@ Property / cites work @@
+Cubature on Wiener space
@@ Property / cites work: Cubature on Wiener space / rank @@
+Normal rank
@@ Property / cites work @@
+A new higher-order weak approximation scheme for stochastic differential equations and the Runge-Kutta method
+Normal rank