Andrei Cozma

Identifiers

No identifiers captured yet.

Papers (5)

1. Strong convergence rates for Euler approximations to a class of stochastic path-dependent volatility models q-fin.CP · 2017 · author #1
2. Strong order 1/2 convergence of full truncation Euler approximations to the Cox-Ingersoll-Ross process q-fin.CP · 2017 · author #1
3. Exponential integrability properties of Euler discretization schemes for the Cox-Ingersoll-Ross process q-fin.CP · 2015 · author #1
4. A mixed Monte Carlo and PDE variance reduction method for foreign exchange options under the Heston-CIR model q-fin.CP · 2015 · author #1
5. Convergence of an Euler scheme for a hybrid stochastic-local volatility model with stochastic rates in foreign exchange markets q-fin.CP · 2015 · author #1

Mentions

No mention provenance yet.

Frequent Coauthors

• Christoph Reisinger 5 shared papers
• Matthieu Mariapragassam 1 shared papers