Andrei Cozma

Available identifiers

zbMath Open cozma.andreiMaRDI QIDQ727911

List of research outcomes

Publication	Date of Publication	Type
Strong order 1/2 convergence of full truncation Euler approximations to the Cox-Ingersoll-Ross process	2021-03-31	Paper
Calibration of a hybrid local-stochastic volatility stochastic rates model with a control variate particle method	2019-05-14	Paper
Strong convergence rates for Euler approximations to a class of stochastic path-dependent volatility models	2018-12-19	Paper
Convergence of an Euler scheme for a hybrid stochastic-local volatility model with stochastic rates in foreign exchange markets	2018-04-16	Paper
Exponential integrability properties of Euler discretization schemes for the Cox-Ingersoll-Ross process	2016-12-21	Paper

Research outcomes over time

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