First and second moment reversion for a discretized square root process with jumps (Q5305973): Difference between revisions

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+On the discretization schemes for the CIR (and Bessel squared) processes
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+Financial Modelling with Jump Processes
@@ Property / cites work: Financial Modelling with Jump Processes / rank @@
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+A Theory of the Term Structure of Interest Rates
@@ Property / cites work: A Theory of the Term Structure of Interest Rates / rank @@
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+Q3687624
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+Q4000061
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+A Closed-Form Solution for Options with Stochastic Volatility with Applications to Bond and Currency Options
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+Numerical methods for nonlinear stochastic differential equations with jumps
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+Exponential Mean-Square Stability of Numerical Solutions to Stochastic Differential Equations
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+Q5429735
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