A new numerical scheme for the CIR process
DOI10.1515/MCMA-2015-0101zbMATH Open1335.60129OpenAlexW2289673737MaRDI QIDQ500385FDOQ500385
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
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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)
Cites Work
- A theory of the term structure of interest rates
- Euler scheme for solutions of stochastic differential equations with non-Lipschitz coefficients
- Title not available (Why is that?)
- A novel approach to construct numerical methods for stochastic differential equations
- Semi-discrete approximations for stochastic differential equations and applications
- High order discretization schemes for the CIR process: application to affine term structure and heston models
- Structure preserving stochastic integration schemes in interest rate derivative modeling
Cited In (10)
- An explicit positivity preserving numerical scheme for CIR/CEV type delay models with jump
- High order discretization schemes for the CIR process: application to affine term structure and heston models
- Mean-reverting schemes for solving the CIR model
- The semi-discrete method for the approximation of the solution of stochastic differential equations
- On the construction of boundary preserving numerical schemes
- An explicit and positivity preserving numerical scheme for the mean reverting CEV model
- Constructing positivity preserving numerical schemes for the two-factor CIR model
- On a discrete version of the CIR process
- Positivity and boundedness preserving numerical scheme for the stochastic epidemic model with square-root diffusion term
- Approximating explicitly the mean-reverting CEV process
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