Affine Diffusions and Related Processes: Simulation, Theory and Applications by Aurélien Alfonsi

Author:Aurélien Alfonsi
Language: eng
Format: epub, pdf
Publisher: Springer International Publishing, Cham

If we want to prove by using Theorem 2.​3.​8 that the scheme of Proposition 4.3.1 leads to a weak error of order 2, one would have to study the Kolmogorov equation related to the Affine Term Structure model. This issue has been tackled very recently in the Ph.D. thesis of Gabrielli [57].

Algorithm 2 Potential second-order scheme for the Dai-Singleton model. Starting point x, time-step t > 0, and . Independent samples.

References

6.

Albrecher, H., Mayer, P., Schoutens, W., Tistaert, J.: The little heston trap. Wilmott Mag. January, 83–92 (2007)

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