Uniform approximation of the Cox-Ingersoll-Ross process
نویسندگان
چکیده
منابع مشابه
Uniform approximation of the Cox-Ingersoll-Ross process
The Doss-Sussmann (DS) approach is used for uniform simulation of the CoxIngersoll-Ross (CIR) process. The DS formalism allows to express trajectories of the CIR process through solutions of some ordinary differential equation (ODE) depending on realizations of a Wiener process involved. By simulating the first-passage times of the increments of the Wiener process to the boundary of an interval...
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Cox-Ingersoll-Ross (CIR) processes are widely used in mathematical finance, e.g., as a model for interest rates or as the volatility process in the Heston model. CIR processes are unique strong solutions of particular scalar stochastic differential equations (SDEs) and take values in [0,∞[. These SDEs are of particular interest in the context of strong (pathwise) approximation due to the lack o...
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In this paper we recast the Cox–Ingersoll–Ross model of interest rates into the chaotic representation recently introduced by Hughston and Rafailidis. Beginning with the “squared Gaussian representation” of the CIR model, we find a simple expression for the fundamental random variable X∞. By use of techniques from the theory of infinite dimensional Gaussian integration, we derive an explicit fo...
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In this we paper we recast the Cox–Ingersoll–Ross model of interest rates into the chaotic representation recently introduced by Hughston and Rafailidis. Beginning with the “squared Gaussian representation” of the CIR model, we find a simple expression for the fundamental random variable X∞. By use of techniques from the theory of infinite dimensional Gaussian integration, we derive an explicit...
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We consider a time inhomogeneous Cox-Ingersoll-Ross diffusion with positive jumps. We exploit a branching property to prove existence of a unique strong solution under a restrictive condition on the jump measure. We give Laplace transforms for the transition probabilities, with an interpretation in terms of limits of mixtures over Gamma laws.
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ژورنال
عنوان ژورنال: Advances in Applied Probability
سال: 2015
ISSN: 0001-8678,1475-6064
DOI: 10.1239/aap/1449859803