Andrei Cozma
From MaRDI portal
List of research outcomes
This list is not complete and representing at the moment only items from zbMATH Open and arXiv. We are working on additional sources - please check back here soon!
| Publication | Date of Publication | Type |
|---|---|---|
| Strong order 1/2 convergence of full truncation Euler approximations to the Cox-Ingersoll-Ross process IMA Journal of Numerical Analysis | 2021-03-31 | Paper |
| Calibration of a hybrid local-stochastic volatility stochastic rates model with a control variate particle method SIAM Journal on Financial Mathematics | 2019-05-14 | Paper |
| Strong convergence rates for Euler approximations to a class of stochastic path-dependent volatility models SIAM Journal on Numerical Analysis | 2018-12-19 | Paper |
| Convergence of an Euler scheme for a hybrid stochastic-local volatility model with stochastic rates in foreign exchange markets SIAM Journal on Financial Mathematics | 2018-04-16 | Paper |
| Exponential integrability properties of Euler discretization schemes for the Cox-Ingersoll-Ross process Discrete and Continuous Dynamical Systems. Series B | 2016-12-21 | Paper |
Research outcomes over time
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