50 citations · 137 across the 16 of their papers we have counts for
Showing 2008Show all
2 papers · 1 filter
math.PR2008★ 13 cited
Stochastic expansions and Hopf algebras
Simon J. A. Malham, Anke Wiese
We study solutions to nonlinear stochastic differential systems driven by a multi-dimensional Wiener process. A useful algorithm for strongly simulating such stochastic systems is…
q-fin.CP2008
Chi-square simulation of the CIR process and the Heston model
Simon J. A. Malham, Anke Wiese
The transition probability of a Cox-Ingersoll-Ross process can be represented by a non-central chi-square density. First we prove a new representation for the central chi-square de…