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

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+.4818
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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 LOW-BIAS SIMULATION SCHEME FOR THE SABR STOCHASTIC VOLATILITY MODEL
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+Multidimensional Stochastic Processes as Rough Paths
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+Q4004325
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+A comparison of biased simulation schemes for stochastic volatility models
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+Cubature on Wiener space
@@ Property / cites work: Cubature on Wiener space / rank @@
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+A new higher-order weak approximation scheme for stochastic differential equations and the Runge-Kutta method
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