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The Cox–Ingersoll–Ross model with delay and strong convergence of its Euler–Maruyama approximate solutions

JOURNAL ARTICLE published October 2009 in Applied Numerical Mathematics

Authors: Fuke Wu | Xuerong Mao | Kan Chen

https://doi.org/10.1016/j.apnum.2009.03.004 Actions

Analysis of non-negativity and convergence of solution of the balanced implicit method for the delay Cox–Ingersoll–Ross model

JOURNAL ARTICLE published August 2017 in Applied Numerical Mathematics

Authors: A.S. Fatemion Aghda | Seyed Mohammad Hosseini | Mahdieh Tahmasebi

https://doi.org/10.1016/j.apnum.2017.03.007 Actions

Embedding the Vasicek model into the Cox-Ingersoll-Ross model

JOURNAL ARTICLE published 30 January 2011 in Mathematical Methods in the Applied Sciences

Authors: W. Sinkala | P. G. L. Leach | J. G. O'Hara

https://doi.org/10.1002/mma.1342 Actions

Volatility forecasting in emerging markets with application of stochastic volatility model

JOURNAL ARTICLE published 1 May 2011 in Applied Financial Economics

Authors: Alex YiHou Huang

https://doi.org/10.1080/09603107.2010.535781 Actions

Estimates of the continuous time Cox-Ingersoll-Ross term structure model: further results for the UK gilt-edged market

JOURNAL ARTICLE published February 2001 in Applied Economics Letters

Authors: Purnendu Nath | K. Ben Nowman

https://doi.org/10.1080/13504850150204110 Actions

An adaptive splitting method for the Cox-Ingersoll-Ross process

JOURNAL ARTICLE published April 2023 in Applied Numerical Mathematics

Authors: Cónall Kelly | Gabriel J. Lord

https://doi.org/10.1016/j.apnum.2023.01.014 Actions

The role of adaptivity in a numerical method for the Cox–Ingersoll–Ross model

JOURNAL ARTICLE published August 2022 in Journal of Computational and Applied Mathematics

Authors: Cónall Kelly | Gabriel Lord | Heru Maulana

https://doi.org/10.1016/j.cam.2022.114208 Actions

Generalisation of fractional Cox–Ingersoll–Ross process

JOURNAL ARTICLE published August 2022 in Results in Applied Mathematics

Authors: Marc Mukendi Mpanda | Safari Mukeru | Mmboniseni Mulaudzi

https://doi.org/10.1016/j.rinam.2022.100322 Actions

Uniform approximation of the Cox-Ingersoll-Ross process

JOURNAL ARTICLE published December 2015 in Advances in Applied Probability

Authors: Grigori N. Milstein | John Schoenmakers

https://doi.org/10.1017/s0001867800049041 Actions

Limit Theorems for a Cox-Ingersoll-Ross Process with Hawkes Jumps

JOURNAL ARTICLE published September 2014 in Journal of Applied Probability

Authors: Lingjiong Zhu

https://doi.org/10.1017/s002190020001161x Actions

Uniform approximation of the Cox-Ingersoll-Ross process

JOURNAL ARTICLE published December 2015 in Advances in Applied Probability

Authors: Grigori N. Milstein | John Schoenmakers

https://doi.org/10.1239/aap/1449859803 Actions

Limit Theorems for a Cox-Ingersoll-Ross Process with Hawkes Jumps

JOURNAL ARTICLE published September 2014 in Journal of Applied Probability

Authors: Lingjiong Zhu

https://doi.org/10.1239/jap/1409932668 Actions

Forecasting interest rates from financial futures markets

JOURNAL ARTICLE published October 1996 in Applied Financial Economics

Authors: K. Holden | J. L. Thompson

https://doi.org/10.1080/096031096334088 Actions

A novel two-stage forecasting model based on error factor and ensemble method for multi-step wind power forecasting

JOURNAL ARTICLE published March 2019 in Applied Energy

Research funded by Major Program of National Social Science Foundation of China (14ZDB130)

Authors: Yan Hao | Chengshi Tian

https://doi.org/10.1016/j.apenergy.2019.01.063 Actions

CALIBRATION OF THE UNI-VARIATE COX–INGERSOLL–ROSS MODEL AND PARAMETERS SELECTION THROUGH THE KULLBACK–LEIBLER DIVERGENCE

JOURNAL ARTICLE published September 2014 in International Journal of Theoretical and Applied Finance

Authors: STEPHANE DANG-NGUYEN | JEAN-MARC LE CAILLEC | ALAIN HILLION

https://doi.org/10.1142/s0219024914500381 Actions

Uniform approximation of the Cox–Ingersoll–Ross process via exact simulation at random times

JOURNAL ARTICLE published December 2016 in Advances in Applied Probability

Authors: Grigori N. Milstein | John Schoenmakers

https://doi.org/10.1017/apr.2016.66 Actions

Implied derivative security prices based two-factor interest model: a UK application

JOURNAL ARTICLE published 15 June 2005 in Applied Financial Economics

Authors: Ghulam Sorwar

https://doi.org/10.1080/0960310042000339730 Actions

An optimal system and group-invariant solutions of the Cox-Ingersoll-Ross pricing equation

JOURNAL ARTICLE published July 2008 in Applied Mathematics and Computation

Authors: W. Sinkala | P.G.L. Leach | J.G. O’Hara

https://doi.org/10.1016/j.amc.2007.12.008 Actions

A two stage stochastic equilibrium model for electricity markets with forward contracts

PROCEEDINGS ARTICLE published June 2010 in 2010 IEEE 11th International Conference on Probabilistic Methods Applied to Power Systems

Authors: Dali Zhang | Sujin Kim

https://doi.org/10.1109/pmaps.2010.5528998 Actions

The relationship between the real estate and stock markets of China: evidence from a nonlinear model

JOURNAL ARTICLE published November 2010 in Applied Financial Economics

Authors: Yu-Shao Liu | Chi-Wei Su

https://doi.org/10.1080/09603107.2010.524616 Actions
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