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math.NA2025
Approximation and regularity results for the Heston model and related processes
Edoardo Lombardo
This Ph.D. thesis explores approximations and regularity for the Heston stochastic volatility model through three interconnected works. The first work focuses on developing high-or…
math.NA2022
High order approximations of the Cox-Ingersoll-Ross process semigroup using random grids
Aurélien Alfonsi, Edoardo Lombardo
We present new high order approximations schemes for the Cox-Ingersoll-Ross (CIR) process that are obtained by using a recent technique developed by Alfonsi and Bally (2021) for th…