An Euler-type method for the strong approximation of the Cox–Ingersoll–Ross process (Q5345939): Difference between revisions

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+On the discretization schemes for the CIR (and Bessel squared) processes
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+High order discretization schemes for the CIR process: Application to affine term structure and Heston models
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+Euler scheme for SDEs with non-Lipschitz diffusion coefficient: strong convergence
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+Exact simulation of diffusions
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+Exact and Computationally Efficient Likelihood-Based Estimation for Discretely Observed Diffusion Processes (with Discussion)
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+Exact Simulation of Stochastic Volatility and Other Affine Jump Diffusion Processes
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+A Theory of the Term Structure of Interest Rates
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+Multilevel Monte Carlo Path Simulation
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+A note on Euler's approximations
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+Numerical simulation of a strongly nonlinear Ait-Sahalia-type interest rate model
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