Pages that link to "Item:Q4231211"

The following pages link to Convergence of discretized stochastic (interest rate) processes with stochastic drift term (Q4231211):

Displaying 50 items.

• Risk-minimization for life insurance liabilities with basis risk (Q253099) (← links)
• Functional limit theorems for additive and multiplicative schemes in the Cox-Ingersoll-Ross model (Q340805) (← links)
• Probabilistic and deterministic algorithms for space multidimensional irregular porous media equation (Q373229) (← links)
• Ergodic approximation of the distribution of a stationary diffusion: rate of convergence (Q433906) (← links)
• Gamma expansion of the Heston stochastic volatility model (Q483714) (← links)
• Approximation of the distribution of a stationary Markov process with application to option pricing (Q605850) (← links)
• A note on Euler approximations for SDEs with Hölder continuous diffusion coefficients (Q719368) (← links)
• Exponential integrability properties of Euler discretization schemes for the Cox-Ingersoll-Ross process (Q727912) (← links)
• Rate of convergence in the Euler scheme for stochastic differential equations with non-Lipschitz diffusion and Poisson measure (Q765113) (← links)
• Affine processes for dynamic mortality and actuarial valuations (Q817280) (← links)
• Strong convergence of the stopped Euler-Maruyama method for nonlinear stochastic differential equations (Q907562) (← links)
• Pathwise approximation of stochastic differential equations on domains: Higher order convergence rates without global Lipschitz coefficients (Q1016225) (← links)
• Consistent fitting of one-factor models to interest rate data. (Q1584583) (← links)
• Asymptotic behavior of maximum likelihood estimators for a jump-type Heston model (Q1644436) (← links)
• Stability problems for Cantor stochastic differential equations (Q1683816) (← links)
• Strong convergence rates for Cox-Ingersoll-Ross processes -- full parameter range (Q1684814) (← links)
• On arbitrarily slow convergence rates for strong numerical approximations of Cox-Ingersoll-Ross processes and squared Bessel processes (Q1711721) (← links)
• Default clustering in large portfolios: typical events (Q1948691) (← links)
• Asian and Australian options: a common perspective (Q1994236) (← links)
• The role of adaptivity in a numerical method for the Cox-Ingersoll-Ross model (Q2122043) (← links)
• The truncated Euler-Maruyama method for CIR model driven by fractional Brownian motion (Q2170237) (← links)
• Predicting the VIX and the volatility risk premium: the role of short-run funding spreads volatility factors (Q2224982) (← links)
• Least-squares estimation for the subcritical Heston model based on continuous-time observations (Q2322027) (← links)
• The rate of convergence of option prices on the asset following a geometric Ornstein-Uhlenbeck process (Q2355530) (← links)
• Calibration and simulation of Heston model (Q2364763) (← links)
• Long-term behavior of stochastic interest rate models with jumps and memory (Q2446007) (← links)
• Convergence of the deep BSDE method for FBSDEs with non-Lipschitz coefficients (Q2671654) (← links)
• Jacobi stochastic volatility factor for the LIBOR market model (Q2675815) (← links)
• CHI-SQUARE SIMULATION OF THE CIR PROCESS AND THE HESTON MODEL (Q2841330) (← links)
• Basic Concepts of Numerical Analysis of Stochastic Differential Equations Explained by Balanced Implicit Theta Methods (Q2914786) (← links)
• Derivation of Several SDE Systems in One- and Two-Locus Population Genetics (Q2929462) (← links)
• Properties of solutions of stochastic differential equations with random coefficients, non-Lipschitzian diffusion, and Poisson measures (Q3114544) (← links)
• Parameter Estimation for the Square-Root Diffusions: Ergodic and Nonergodic Cases (Q3145420) (← links)
• On the discretization schemes for the CIR (and Bessel squared) processes (Q3367271) (← links)
• The fair value of guaranteed annuity options (Q3440844) (← links)
• High order discretization schemes for the CIR process: Application to affine term structure and Heston models (Q3584774) (← links)
• Convergence of an Euler Scheme for a Hybrid Stochastic-Local Volatility Model with Stochastic Rates in Foreign Exchange Markets (Q4635245) (← links)
• Strong Solutions of a Class of Stochastic Differential Equations with Jumps (Q4932829) (← links)
• A comparison of biased simulation schemes for stochastic volatility models (Q5190133) (← links)
• An Euler-type method for the strong approximation of the Cox–Ingersoll–Ross process (Q5345939) (← links)
• A Feynman-Kac type formula for a fixed delay CIR model (Q5378408) (← links)
• Low-bias simulation scheme for the Heston model by Inverse Gaussian approximation (Q5397429) (← links)
• Implicit Estimation for the Stochastic Volatility Model (Q5419350) (← links)
• Euler scheme for SDEs with non-Lipschitz diffusion coefficient: strong convergence (Q5429617) (← links)
• Robust Markowitz mean‐variance portfolio selection under ambiguous covariance matrix (Q5743121) (← links)
• Asset classification under the IFRS 9 framework for the construction of a banking investment portfolio (Q6071066) (← links)
• Mean-reverting schemes for solving the CIR model (Q6175251) (← links)
• Models and numerical methods for XVA pricing under mean reversion spreads in a multicurrency framework (Q6183818) (← links)
• Nearly unstable integer‐valued ARCH process and unit root testing (Q6196809) (← links)
• Credit default swap spreads modeling and forecasting with a stochastic square-root three-factor model (Q6581975) (← links)