High order discretization schemes for the CIR process: Application to affine term structure and Heston models.

Aurélien Alfonsi

Published in: Math. Comput. (2010)

Keyphrases

high order
higher order
bayesian logistic regression
process model
low order
pairwise
lower order
image processing
image segmentation
denoising
markov random field
partial differential equations
predictive power