SIMPLE SIMULATION SCHEMES FOR CIR AND WISHART PROCESSES

DOI10.1142/S0219024913500453zbMath1290.91177MaRDI QIDQ5411741

Camilla Pisani, Paolo Baldi

Publication date: 25 April 2014

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

zbMATH Keywords

stochastic simulationCIR modelWishart processescomposition rulesmatrix-valued Ornstein-Uhlenbeck processes

Mathematics Subject Classification ID

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

Cites Work

• Affine processes on positive semidefinite matrices
• Discrete time Wishart term structure models
• Wishart processes
• Diffusions of perturbed principal component analysis
• Exact and high-order discretization schemes for Wishart processes and their affine extensions
• A multifactor volatility Heston model
• High order discretization schemes for the CIR process: Application to affine term structure and Heston models
• THE WISHART SHORT RATE MODEL
• A Closed-Form Solution for Options with Stochastic Volatility with Applications to Bond and Currency Options

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