SIMULATION OF SQUARE-ROOT PROCESSES ¨ LEIF B.G. ANDERSEN, PETER JACKEL, AND CHRISTIAN KAHL Abstract. We discuss methods for time-discretization and simulation of squareroot SDEs, both in isolation (CIR process) and as - Leif - Document - PDFSEARCH.IO

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	SIMULATION OF SQUARE-ROOT PROCESSES ¨ LEIF B.G. ANDERSEN, PETER JACKEL, AND CHRISTIAN KAHL Abstract. We discuss methods for time-discretization and simulation of squareroot SDEs, both in isolation (CIR process) and as Add to Reading List Document Date: 2009-03-14 14:09:43 Open Document File Size: 190,25 KB Share Result on Facebook City Springer Verlag / / Company Cox / / Facility Tinbergen Institute / University of Montreal / / IndustryTerm actual trading systems / quantitative finance / simulation algorithms / simulation algorithm / finance date / simpler simulation algorithms / closed-form solution / finance / software architecture / basic algorithm / stochastic volatility applications / / Organization Tinbergen Institute / University of Montreal / Institut f¨ / / Person Affine / LEIF B.G. ANDERSEN / CHRISTIAN KAHL / ACM TOMS / PETER JACKEL / Kaya / / / Position model / Heston model / ” Working Paper / / ProvinceOrState New York / / PublishedMedium Review of Financial Studies / / Technology simulation algorithm / following algorithm / Broadie-Kaya algorithm / Cheng-Feast algorithm / simulation algorithms / caching / simpler simulation algorithms / SIMULATION / QE algorithm / basic algorithm / / SocialTag Heston model Normal distribution Stochastic differential equation Stochastic volatility CIR process Autoregressive conditional heteroskedasticity Volatility Martingale Statistics Stochastic processes

SIMULATION OF SQUARE-ROOT PROCESSES ¨ LEIF B.G. ANDERSEN, PETER JACKEL, AND CHRISTIAN KAHL Abstract. We discuss methods for time-discretization and simulation of squareroot SDEs, both in isolation (CIR process) and as Add to Reading List