A new numerical scheme for the CIR process

DOI10.1515/MCMA-2015-0101zbMath1335.60129OpenAlexW2289673737MaRDI QIDQ500385

Nikolaos Halidias

Publication date: 2 October 2015

Published in: Monte Carlo Methods and Applications (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1515/mcma-2015-0101

zbMATH Keywords

order of convergenceCIR processpositivity preservationexplicit numerical scheme

Mathematics Subject Classification ID

Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Computational methods for stochastic equations (aspects of stochastic analysis) (60H35) Numerical solutions to stochastic differential and integral equations (65C30)

Related Items (5)

Approximating explicitly the mean-reverting CEV process ⋮ On the construction of boundary preserving numerical schemes ⋮ The semi-discrete method for the approximation of the solution of stochastic differential equations ⋮ An explicit positivity preserving numerical scheme for CIR/CEV type delay models with jump ⋮ Positivity and boundedness preserving numerical scheme for the stochastic epidemic model with square-root diffusion term

Cites Work

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• Euler scheme for solutions of stochastic differential equations with non-Lipschitz coefficients
• A novel approach to construct numerical methods for stochastic differential equations
• Structure preserving stochastic integration schemes in interest rate derivative modeling
• A Theory of the Term Structure of Interest Rates
• High order discretization schemes for the CIR process: Application to affine term structure and Heston models
• Semi-discrete approximations for stochastic differential equations and applications

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