A new numerical scheme for the CIR process (Q500385): Difference between revisions

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+Structure preserving stochastic integration schemes in interest rate derivative modeling
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+Euler scheme for solutions of stochastic differential equations with non-Lipschitz coefficients
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+Semi-discrete approximations for stochastic differential equations and applications
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+High order discretization schemes for the CIR process: Application to affine term structure and Heston models
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+A novel approach to construct numerical methods for stochastic differential equations
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+Q3530675
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+A Theory of the Term Structure of Interest Rates
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+Normal rank