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Andrei Cozma

Identifiers

  • name variant Andrei Cozma 0.60 · backfill

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

  • 1509.01479 #1 · backfill · confidence 0.70 Andrei Cozma
  • 1501.06084 #1 · backfill · confidence 0.70 Andrei Cozma

Frequent Coauthors