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

@@ Property / DOI @@
-.1515/mcma-2015-0101
@@ Property / DOI: 10.1515/mcma-2015-0101 / rank @@
-Normal rank
@@ Property / Mathematics Subject Classification ID @@
+H35
@@ Property / Mathematics Subject Classification ID: 60H35 / rank @@
+Normal rank
@@ Property / Mathematics Subject Classification ID @@
+H10
@@ Property / Mathematics Subject Classification ID: 60H10 / rank @@
+Normal rank
@@ Property / Mathematics Subject Classification ID @@
+C30
@@ Property / Mathematics Subject Classification ID: 65C30 / rank @@
+Normal rank
@@ Property / zbMATH DE Number @@
+6488362
@@ Property / zbMATH DE Number: 6488362 / rank @@
+Normal rank
@@ Property / zbMATH Keywords @@
+CIR process
@@ Property / zbMATH Keywords: CIR process / rank @@
+Normal rank
@@ Property / zbMATH Keywords @@
+explicit numerical scheme
@@ Property / zbMATH Keywords: explicit numerical scheme / rank @@
+Normal rank
@@ Property / zbMATH Keywords @@
+positivity preservation
@@ Property / zbMATH Keywords: positivity preservation / rank @@
+Normal rank
@@ Property / zbMATH Keywords @@
+order of convergence
@@ Property / zbMATH Keywords: order of convergence / rank @@
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@@ Property / MaRDI profile type @@
+MaRDI publication profile
@@ Property / MaRDI profile type: MaRDI publication profile / rank @@
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@@ Property / full work available at URL @@
+https://doi.org/10.1515/mcma-2015-0101
+Normal rank
@@ Property / OpenAlex ID @@
+W2289673737
@@ Property / OpenAlex ID: W2289673737 / rank @@
+Normal rank
@@ Property / cites work @@
+Structure preserving stochastic integration schemes in interest rate derivative modeling
+Normal rank
@@ Property / cites work @@
+Euler scheme for solutions of stochastic differential equations with non-Lipschitz coefficients
+Normal rank
@@ Property / cites work @@
+Semi-discrete approximations for stochastic differential equations and applications
+Normal rank
@@ Property / cites work @@
+High order discretization schemes for the CIR process: Application to affine term structure and Heston models
+Normal rank
@@ Property / cites work @@
+A novel approach to construct numerical methods for stochastic differential equations
+Normal rank
@@ Property / cites work @@
+Q3530675
@@ Property / cites work: Q3530675 / rank @@
+Normal rank
@@ Property / cites work @@
+A Theory of the Term Structure of Interest Rates
@@ Property / cites work: A Theory of the Term Structure of Interest Rates / rank @@
+Normal rank
@@ Property / DOI @@
+.1515/MCMA-2015-0101
@@ Property / DOI: 10.1515/MCMA-2015-0101 / rank @@
+Normal rank
@@ links / mardi / name / links / mardi / name @@
+Publication:500385