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):
Displaying 16 items.
- Semi-closed form cubature and applications to financial diffusion models (Q5397417) (← links)
- SIMPLE SIMULATION SCHEMES FOR CIR AND WISHART PROCESSES (Q5411741) (← links)
- VALUE-AT-RISK COMPUTATIONS IN STOCHASTIC VOLATILITY MODELS USING SECOND-ORDER WEAK APPROXIMATION SCHEMES (Q5411988) (← links)
- EUROPEAN OPTIONS SENSITIVITY WITH RESPECT TO THE CORRELATION FOR MULTIDIMENSIONAL HESTON MODELS (Q5420695) (← links)
- Pricing Ratchet Equity-Indexed Annuities with Early Surrender Risk in a CIR++ Model (Q5742647) (← links)
- Efficient Second-order Weak Scheme for Stochastic Volatility Models (Q5746534) (← links)
- An adaptive splitting method for the Cox-Ingersoll-Ross process (Q6101788) (← links)
- Approximation of Stochastic Volterra Equations with kernels of completely monotone type (Q6140843) (← links)
- Multilevel Monte Carlo simulation for the Heston stochastic volatility model (Q6144993) (← links)
- Multilevel Monte Carlo using approximate distributions of the CIR process (Q6157841) (← links)
- Numerical smoothing with hierarchical adaptive sparse grids and quasi-Monte Carlo methods for efficient option pricing (Q6158396) (← links)
- High Order Splitting Methods for SDEs Satisfying a Commutativity Condition (Q6190295) (← links)
- Approximating inverse cumulative distribution functions to produce approximate random variables (Q6601383) (← links)
- Option pricing in sandwiched Volterra volatility model (Q6623043) (← links)
- An explicit positivity-preserving scheme for the Heston 3/2-model with order-one strong convergence (Q6649258) (← links)
- Efficient option pricing in the rough Heston model using weak simulation schemes (Q6657699) (← links)
