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1. Convergence of an Euler scheme for a hybrid stochastic-local volatility model with stochastic rates in foreign exchange markets. (2016). Reisinger, Christoph ; Cozma, Andrei.
   In: Papers.
   RePEc:arx:papers:1501.06084.

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2. Weak approximation of Heston model by discrete random variables. (2015). Mackeviius, V. ; Lenkas, A..
   In: Mathematics and Computers in Simulation (MATCOM).
   RePEc:eee:matcom:v:113:y:2015:i:c:p:1-15.

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3. Constructing positivity preserving numerical schemes for the two-factor CIR model. (2015). Nikolaos, Halidias.
   In: Monte Carlo Methods and Applications.
   RePEc:bpj:mcmeap:v:21:y:2015:i:4:p:313-323:n:4.

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4. A new numerical scheme for the CIR process. (2015). Nikolaos, Halidias.
   In: Monte Carlo Methods and Applications.
   RePEc:bpj:mcmeap:v:21:y:2015:i:3:p:245-253:n:1.

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5. An Efficient Semi-Analytical Simulation for the Heston Model. (2014). Sun, Xianming ; Gan, Siqing.
   In: Computational Economics.
   RePEc:kap:compec:v:43:y:2014:i:4:p:433-445.

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6. Prepayment option of a perpetual corporate loan: the impact of the funding costs. (2014). Turinici, Gabriel ; Papin, Timothee.
   In: Post-Print.
   RePEc:hal:journl:hal-00768571.

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7. Commodity Derivative Pricing Under the Benchmark Approach. (2013). Du, KE.
   In: PhD Thesis.
   RePEc:uts:finphd:2.

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8. Valuation of the Prepayment Option of a Perpetual Corporate Loan. (2013). Turinici, Gabriel ; Papin, Timothee.
   In: Post-Print.
   RePEc:hal:journl:hal-00653041.

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9. High order discretization schemes for stochastic volatility models. (2013). Jourdain, Benjamin ; Sbai, Mohamed.
   In: Post-Print.
   RePEc:hal:journl:hal-00409861.

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10. Strong order one convergence of a drift implicit Euler scheme: Application to the CIR process. (2013). Alfonsi, Aurelien.
    In: Statistics & Probability Letters.
    RePEc:eee:stapro:v:83:y:2013:i:2:p:602-607.

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11. Pricing of Corporate Loan : Credit Risk and Liquidity cost. (2013). Papin, Timothee.
    In: Economics Thesis from University Paris Dauphine.
    RePEc:dau:thesis:123456789/12545.

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12. Valuation of the prepayment option of a perpetual corporate loan. (2013). Papin, Timothee ; Turinici, Gabriel.
    In: Economics Papers from University Paris Dauphine.
    RePEc:dau:papers:123456789/7818.

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13. The Affine Nature of Aggregate Wealth Dynamics. (2012). Platen, Eckhard ; Rendek, Renata.
    In: Research Paper Series.
    RePEc:uts:rpaper:322.

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14. Modeling of Oil Prices. (2012). Platen, Eckhard ; Rendek, Renata ; Du, KE.
    In: Research Paper Series.
    RePEc:uts:rpaper:321.

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15. Prepayment option of a perpetual corporate loan: the impact of the funding costs. (2012). Papin, Timothee ; Turinici, Gabriel.
    In: Working Papers.
    RePEc:hal:wpaper:hal-00768571.

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16. First order strong approximations of scalar SDEs with values in a domain. (2012). Szpruch, Lukasz ; Neuenkirch, Andreas.
    In: Papers.
    RePEc:arx:papers:1209.0390.

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17. Gamma expansion of the Heston stochastic volatility model. (2011). Glasserman, Paul ; Kim, Kyoung-Kuk.
    In: Finance and Stochastics.
    RePEc:spr:finsto:v:15:y:2011:i:2:p:267-296.

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18. Participating life insurance policies: an accurate and efficient parallel software for COTS clusters. (2011). Marino, Z. ; Corsaro, S. ; De Angelis, P. ; Perla, F..
    In: Computational Management Science.
    RePEc:spr:comgts:v:8:y:2011:i:3:p:219-236.

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19. A note on Euler approximations for SDEs with Hölder continuous diffusion coefficients. (2011). Rasonyi, Miklos ; Gyongy, Istvan.
    In: Stochastic Processes and their Applications.
    RePEc:eee:spapps:v:121:y:2011:i:10:p:2189-2200.

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20. Exact Scenario Simulation for Selected Multi-dimensional Stochastic Processes. (2009). Platen, Eckhard ; Rendek, Renata.
    In: Research Paper Series.
    RePEc:uts:rpaper:259.

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21. Approximation of the distribution of a stationary Markov process with application to option pricing. (2009). Pages, Gilles ; Panloup, Fabien.
    In: Papers.
    RePEc:arx:papers:0704.0335.

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22. A Comparison of Biased Simulation Schemes for Stochastic Volatility Models. (2007). van Dijk, Dick ; Lord, Roger ; Koekkoek, Remmert .
    In: Tinbergen Institute Discussion Papers.
    RePEc:tin:wpaper:20060046.

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23. Credit Derivatives Pricing with a Smile-Extended Jump Stochastic Intensity Model. (2006). Brigo, Damiano ; El-Bachir, Naoufel .
    In: ICMA Centre Discussion Papers in Finance.
    RePEc:rdg:icmadp:icma-dp2006-13.

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