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A transformed jump-adapted backward Euler method for jump-extended CIR and CEV models
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Numerical Solution of Stochastic Differential Equations with Jumps in Finance
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Strong order one convergence of a drift implicit Euler scheme: Application to the CIR process
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Euler scheme for SDEs with non-Lipschitz diffusion coefficient: strong convergence
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First and second moment reversion for a discretized square root process with jumps
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The Order of Approximations for Solutions of Itô-Type Stochastic Differential Equations with Jumps
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High order discretization schemes for the CIR process: Application to affine term structure and Heston models
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Jump-Diffusion Processes and the Term Structure of Interest Rates
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Boundary Preserving Semianalytic Numerical Algorithms for Stochastic Differential Equations
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On the discretization schemes for the CIR (and Bessel squared) processes
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Incoming claims: where this work appears in other papers’ reference lists and arguments.
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