On the discretization schemes for the CIR (and Bessel squared) processes

DOI10.1515/156939605777438569zbMATH Open1100.65007OpenAlexW2254488552MaRDI QIDQ3367271FDOQ3367271

Authors: Aurélien Alfonsi 

Publication date: 24 January 2006

Published in: Monte Carlo Methods and Applications (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1515/156939605777438569

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zbMATH Keywords

numerical examplescomparison of methodsdiscretization schemestochastic integro-differential equationCox-Ingersoll-Ross modelRomberg methodSquared Bessel process

Mathematics Subject Classification ID

Numerical methods for integral equations (65R20) Computational methods for stochastic equations (aspects of stochastic analysis) (60H35) Numerical solutions to stochastic differential and integral equations (65C30) Random integral equations (45R05) Stochastic integral equations (60H20)

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Cited In (99)

• Weak approximation of CIR equation by discrete random variables
• Parameter Estimation for the Square-Root Diffusions: Ergodic and Nonergodic Cases
• Bidimensional random effect estimation in mixed stochastic differential model
• Convergence and stability of modified partially truncated Euler-Maruyama method for nonlinear stochastic differential equations with Hölder continuous diffusion coefficient
• Participating life insurance policies: an accurate and efficient parallel software for COTS clusters
• Positivity and convergence of the balanced implicit method for the nonlinear jump-extended CIR model
• Strong convergence rates for Cox-Ingersoll-Ross processes -- full parameter range
• Clarification and complement to ``Mean-field description and propagation of chaos in networks of Hodgkin-Huxley and Fitzhugh-Nagumo neurons
• On arbitrarily slow convergence rates for strong numerical approximations of Cox-Ingersoll-Ross processes and squared Bessel processes
• Convergence of an Euler Scheme for a Hybrid Stochastic-Local Volatility Model with Stochastic Rates in Foreign Exchange Markets
• On a positivity preserving numerical scheme for jump-extended CIR process: the alpha-stable case
• Dynamic pricing with stochastic reference price effect
• Some Properties of CIR Processes
• Numerical simulation of a strongly nonlinear Ait-Sahalia-type interest rate model
• Pricing and hedging Asian basket options with quasi-Monte Carlo simulations
• Numerical analysis of the balanced implicit method for stochastic age-dependent capital system with Poisson jumps
• Optimal strong convergence rate of a backward Euler type scheme for the Cox-Ingersoll-Ross model driven by fractional Brownian motion
• Solving the Kolmogorov PDE by means of deep learning
• Disentangling wrong-way risk: pricing credit valuation adjustment via change of measures
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• Valuation of the prepayment option of a perpetual corporate loan
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• First order strong convergence of positivity preserving logarithmic Euler-Maruyama method for the stochastic SIS epidemic model
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• Speeding up the Euler scheme for killed diffusions
• On two numerical problems in applied probability : discretization of Stochastic Differential Equations and optimization of an expectation depending on a parameter
• Approximating inverse cumulative distribution functions to produce approximate random variables
• Multilevel Monte Carlo using approximate distributions of the CIR process
• Numerical simulation of statistical behavior for fractional Cox-Ingersoll-Ross process
• The role of adaptivity in a numerical method for the Cox-Ingersoll-Ross model
• Enhancing Least Squares Monte Carlo with diffusion bridges: an application to energy facilities
• Drift-implicit Euler scheme for sandwiched processes driven by Hölder noises
• Harnack and super poincaré inequalities for generalized Cox-Ingersoll-Ross model
• Stationary Heston model: calibration and pricing of exotics using product recursive quantization
• Mean-reverting schemes for solving the CIR model
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• A SUBORDINATED CIR INTENSITY MODEL WITH APPLICATION TO WRONG-WAY RISK CVA
• Strong Convergence Rates for Euler Approximations to a Class of Stochastic Path-Dependent Volatility Models
• Strong convergence and stationary distribution of an explicit scheme for the Wright-Fisher model
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• An adaptive splitting method for the Cox-Ingersoll-Ross process
• Construction of a Third-Order K-Scheme and Its Application to Financial Models
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