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q-fin.CP2009
Exact Simulation of Bessel Diffusions
Roman N. Makarov, Devin Glew
We consider the exact path sampling of the squared Bessel process and some other continuous-time Markov processes, such as the CIR model, constant elasticity of variance diffusion…
q-fin.PR2009
Dual Stochastic Transformations of Solvable Diffusions
Giuseppe Campolieti, Roman N. Makarov
We present new extensions to a method for constructing several families of solvable one-dimensional time-homogeneous diffusions whose transition densities are obtainable in analyti…