Mean-reverting schemes for solving the CIR model

DOI10.1016/J.CAM.2023.115354MaRDI QIDQ6175251zbMATH OpenOpenAlexFDO

Authors

Publication date 21 July 2023

Published in Journal of Computational and Applied Mathematics (Search for Journal in Brave)

Copyright license Creative Commons Attribution-NonCommercial-NoDerivatives 4.0 International

Full work available at URL https://doi.org/10.1016/j.cam.2023.115354

zbMATH Keywords

CIR modelmean-revertingstochastic differential equationsstochastic numerical method

Mathematics Subject Classification ID

Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Computational methods for stochastic equations (aspects of stochastic analysis) (60H35) Numerical solutions to stochastic differential and integral equations (65C30) Numerical methods (including Monte Carlo methods) (91G60)

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Cites work

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• Fast strong approximation Monte Carlo schemes for stochastic volatility models
• Higher-order implicit strong numerical schemes for stochastic differential equations
• scientific article; zbMATH DE number 1999206 (Why is no real title available?)
• scientific article; zbMATH DE number 954636 (Why is no real title available?)
• On the discretization schemes for the CIR (and Bessel squared) processes
• Optimal strong approximation of the one-dimensional squared Bessel process
• Stochastic calculus for finance. II: Continuous-time models.
• Stochastic differential equations. An introduction with applications.
• Strong convergence rates for Cox-Ingersoll-Ross processes -- full parameter range
• Strong order one convergence of a drift implicit Euler scheme: application to the CIR process

Cited in

(12)

• On weak approximations of CIR equation with high volatility
• Verhulst versus CIR
• Numerical evaluation of complex logarithms in the Cox-Ingersoll-Ross model
• High order discretization schemes for the CIR process: application to affine term structure and heston models
• A new numerical scheme for the CIR process
• First and second moment reversion for a discretized square root process with jumps
• Simple simulation schemes for CIR and Wishart processes
• Exact perturbation approximations for the conditional moments of a multifactor CIR term structure model with a weak mean-reversion influence
• Implicit Milstein schemes: preservation of properties when solving the CIR equation
• Preservation of structural properties of the CIR model by -Milstein schemes
• A long-term analysis of two types of compensated theta methods for jump-Pearson diffusions
• Constructing positivity preserving numerical schemes for the two-factor CIR model

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