A new numerical scheme for the CIR process

DOI10.1515/MCMA-2015-0101MaRDI QIDQ500385zbMATHOpenAlexFDO

Authors Nikolaos Halidias

Publication date 2 October 2015

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

Full work available at URL https://doi.org/10.1515/mcma-2015-0101

zbMATH Keywords

CIR processorder of convergenceexplicit numerical schemepositivity preservation

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)

Recommendations

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Cites work

• scientific article; zbMATH DE number 5354344 (Why is no real title available?)
• A novel approach to construct numerical methods for stochastic differential equations
• A theory of the term structure of interest rates
• Euler scheme for solutions of stochastic differential equations with non-Lipschitz coefficients
• High order discretization schemes for the CIR process: application to affine term structure and heston models
• Semi-discrete approximations for stochastic differential equations and applications
• Structure preserving stochastic integration schemes in interest rate derivative modeling

Cited in

(12)

• The semi-discrete method for the approximation of the solution of stochastic differential equations
• High order discretization schemes for the CIR process: application to affine term structure and heston models
• Positivity and boundedness preserving numerical scheme for the stochastic epidemic model with square-root diffusion term
• An explicit positivity preserving numerical scheme for CIR/CEV type delay models with jump
• Constructing positivity preserving numerical schemes for the two-factor CIR model
• On the construction of boundary preserving numerical schemes
• Mean-reverting schemes for solving the CIR model
• An explicit and positivity preserving numerical scheme for the mean reverting CEV model
• On a positivity preserving numerical scheme for jump-extended CIR process: the alpha-stable case
• On a discrete version of the CIR process
• Approximating explicitly the mean-reverting CEV process
• The truncated Euler-Maruyama method for CIR model driven by fractional Brownian motion

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