7 citations · 13 across the 5 of their papers we have counts for
7 papers
Simulation of conditional expectations under fast mean-reverting stochastic volatility models
Andrei Cozma, Christoph Reisinger
In this short paper, we study the simulation of a large system of stochastic processes subject to a common driving noise and fast mean-reverting stochastic volatilities. This model…
Strong convergence rates for Euler approximations to a class of stochastic path-dependent volatility models
Andrei Cozma, Christoph Reisinger
We consider a class of stochastic path-dependent volatility models where the stochastic volatility, whose square follows the Cox-Ingersoll-Ross model, is multiplied by a (leverage)…
Strong order 1/2 convergence of full truncation Euler approximations to the Cox-Ingersoll-Ross process
Andrei Cozma, Christoph Reisinger
We study convergence properties of the full truncation Euler scheme for the Cox-Ingersoll-Ross process in the regime where the boundary point zero is inaccessible. Under some condi…
Calibration of a Hybrid Local-Stochastic Volatility Stochastic Rates Model with a Control Variate Particle Method
Andrei Cozma, Matthieu Mariapragassam, Christoph Reisinger
We propose a novel and generic calibration technique for four-factor foreign-exchange hybrid local-stochastic volatility models with stochastic short rates. We build upon the parti…
Exponential integrability properties of Euler discretization schemes for the Cox-Ingersoll-Ross process
Andrei Cozma, Christoph Reisinger
We analyze exponential integrability properties of the Cox-Ingersoll-Ross (CIR) process and its Euler discretizations with various types of truncation and reflection at 0. These pr…
A mixed Monte Carlo and PDE variance reduction method for foreign exchange options under the Heston-CIR model
Andrei Cozma, Christoph Reisinger
In this paper, the valuation of European and path-dependent options in foreign exchange (FX) markets is considered when the currency exchange rate evolves according to the Heston m…