Simple simulation schemes for CIR and Wishart processes

DOI10.1142/S0219024913500453MaRDI QIDQ5411741zbMATH OpenFDO

Authors Paolo Baldi, Camilla Pisani

Publication date 25 April 2014

Published in International Journal of Theoretical and Applied Finance (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1142/S0219024913500453

zbMATH Keywords

CIR modelcomposition rulesmatrix-valued Ornstein-Uhlenbeck processesstochastic simulationWishart processes

Mathematics Subject Classification ID

Applications of stochastic analysis (to PDEs, etc.) (60H30) Markov processes: estimation; hidden Markov models (62M05) Interest rates, asset pricing, etc. (stochastic models) (91G30) Numerical methods (including Monte Carlo methods) (91G60)

Recommendations

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Cites work

• A closed-form solution for options with stochastic volatility with applications to bond and currency options
• A multifactor volatility Heston model
• Affine processes on positive semidefinite matrices
• Diffusions of perturbed principal component analysis
• Discrete time Wishart term structure models
• Exact and high-order discretization schemes for Wishart processes and their affine extensions
• High order discretization schemes for the CIR process: application to affine term structure and heston models
• The Wishart short rate model
• Wishart processes

Cited in

(2)

• Exact and high-order discretization schemes for Wishart processes and their affine extensions
• A simple approximation for the simulation of continuous random variables

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