SIMPLE SIMULATION SCHEMES FOR CIR AND WISHART PROCESSES
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Publication:5411741
DOI10.1142/S0219024913500453zbMath1290.91177MaRDI QIDQ5411741
Publication date: 25 April 2014
Published in: International Journal of Theoretical and Applied Finance (Search for Journal in Brave)
stochastic simulation; CIR model; Wishart processes; composition rules; matrix-valued Ornstein-Uhlenbeck processes
91G60: Numerical methods (including Monte Carlo methods)
62M05: Markov processes: estimation; hidden Markov models
60H30: Applications of stochastic analysis (to PDEs, etc.)
91G30: Interest rates, asset pricing, etc. (stochastic models)
Cites Work
- Affine processes on positive semidefinite matrices
- Discrete time Wishart term structure models
- Wishart processes
- Diffusions of perturbed principal component analysis
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- High order discretization schemes for the CIR process: Application to affine term structure and Heston models
- THE WISHART SHORT RATE MODEL
- A Closed-Form Solution for Options with Stochastic Volatility with Applications to Bond and Currency Options