Author:
Ahdida Abdelkoddousse,Alfonsi Aurélien
Funder
Finance Innovation
Fondation du Risque and the French National Research Agency (ANR)
Subject
Applied Mathematics,Modelling and Simulation,Statistics and Probability
Reference23 articles.
1. A. Ahdida, A. Alfonsi, Exact and high order discretization schemes for Wishart processes and their affine extensions, Arxiv Preprint, 2010.
2. High order discretization schemes for the CIR process: application to affine term structure and Heston models;Alfonsi;Math. Comp.,2010
3. Interest Rate Models—Theory and Practice;Brigo,2006
4. Wishart processes;Bru;J. Theoret. Probab.,1991
5. The fundamental solution to the Wright–Fisher equation;Chen;SIAM J. Math. Anal.,2010
Cited by
15 articles.
订阅此论文施引文献
订阅此论文施引文献，注册后可以免费订阅5篇论文的施引文献，订阅后可以查看论文全部施引文献