Pages that link to "Item:Q3584774"
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The following pages link to High order discretization schemes for the CIR process: Application to affine term structure and Heston models (Q3584774):
Displayed 50 items.
- Weak approximation of CIR equation by discrete random variables (Q392777) (← links)
- High-order approximation of Pearson diffusion processes (Q413731) (← links)
- Cubature methods for stochastic (partial) differential equations in weighted spaces (Q483627) (← links)
- Gamma expansion of the Heston stochastic volatility model (Q483714) (← links)
- A stochastic exponential Euler scheme for simulation of stiff biochemical reaction systems (Q486711) (← links)
- A new numerical scheme for the CIR process (Q500385) (← links)
- A transformed jump-adapted backward Euler method for jump-extended CIR and CEV models (Q503350) (← links)
- Convergence in total variation distance of a third order scheme for one-dimensional diffusion processes (Q515534) (← links)
- Weak approximation of CKLS and CEV processes by discrete random variables (Q779824) (← links)
- On the growth rate of a linear stochastic recursion with Markovian dependence (Q887092) (← links)
- A second-order weak approximation of Heston model by discrete random variables (Q904337) (← links)
- On backward Kolmogorov equation related to CIR process (Q1641940) (← links)
- Approximation of Markov semigroups in total variation distance under an irregular setting: an application to the CIR process (Q1713467) (← links)
- Pricing and hedging GMWB in the Heston and in the Black-Scholes with stochastic interest rate models (Q1722758) (← links)
- Exact and high-order discretization schemes for Wishart processes and their affine extensions (Q1950261) (← links)
- A generic construction for high order approximation schemes of semigroups using random grids (Q2049919) (← links)
- The role of adaptivity in a numerical method for the Cox-Ingersoll-Ross model (Q2122043) (← links)
- Moving average options: machine learning and Gauss-Hermite quadrature for a double non-Markovian problem (Q2158055) (← links)
- Weak approximation of Heston model by discrete random variables (Q2228636) (← links)
- Higher-order weak schemes for the Heston stochastic volatility model by extrapolation (Q2235889) (← links)
- Higher-order interpolated lattice schemes for multidimensional option pricing problems (Q2252708) (← links)
- On weak approximations of CIR equation with high volatility (Q2270458) (← links)
- Verhulst versus CIR (Q2355529) (← links)
- Calibration and simulation of Heston model (Q2364763) (← links)
- An operator approach for Markov chain weak approximations with an application to infinite activity Lévy driven SDEs (Q2389602) (← links)
- Computational technique for simulating variable-order fractional Heston model with application in US stock market (Q2418460) (← links)
- Pricing and hedging GLWB in the Heston and in the Black-Scholes with stochastic interest rate models (Q2520430) (← links)
- Uniform approximation of the Cox-Ingersoll-Ross process (Q2786430) (← links)
- Recent advances in various fields of numerical probability (Q2786538) (← links)
- STOCHASTIC LOCAL INTENSITY LOSS MODELS WITH INTERACTING PARTICLE SYSTEMS (Q2799999) (← links)
- CHI-SQUARE SIMULATION OF THE CIR PROCESS AND THE HESTON MODEL (Q2841330) (← links)
- On a discrete version of the CIR process (Q2846807) (← links)
- ON PRICING CONTINGENT CLAIMS UNDER THE DOUBLE HESTON MODEL (Q3166710) (← links)
- Harnack and super poincaré inequalities for generalized Cox-Ingersoll-Ross model (Q3298105) (← links)
- On two numerical problems in applied probability : discretization of Stochastic Differential Equations and optimization of an expectation depending on a parameter (Q3451723) (← links)
- Algebraic structure of vector fields in financial diffusion models and its applications (Q4555127) (← links)
- Backward simulation methods for pricing American options under the CIR process (Q4555172) (← links)
- Dirichlet Forms and Finite Element Methods for the SABR Model (Q4579839) (← links)
- Construction of a Third-Order K-Scheme and Its Application to Financial Models (Q4607056) (← links)
- Stochastic Gradient Descent in Continuous Time (Q4607057) (← links)
- Weighted least-squares estimation for the subcritical Heston process (Q4684958) (← links)
- Series Expansions and Direct Inversion for the Heston Model (Q4988549) (← links)
- Machine learning for pricing American options in high-dimensional Markovian and non-Markovian models (Q4991044) (← links)
- DECOMPOSITION FORMULA FOR ROUGH VOLTERRA STOCHASTIC VOLATILITY MODELS (Q4994441) (← links)
- Efficient simulation methods for the Quasi-Gaussian term-structure model with volatility smiles: practical applications of the KLNV-scheme (Q5014247) (← links)
- Convergence Rate of Markov Chains and Hybrid Numerical Schemes to Jump-Diffusion with Application to the Bates Model (Q5151932) (← links)
- NUMERICAL STABILITY OF A HYBRID METHOD FOR PRICING OPTIONS (Q5207491) (← links)
- An Euler-type method for the strong approximation of the Cox–Ingersoll–Ross process (Q5345939) (← links)
- Weak Convergence Rate of a Time-Discrete Scheme for the Heston Stochastic Volatility Model (Q5346007) (← links)
- Semi-closed form cubature and applications to financial diffusion models (Q5397417) (← links)
