Andrei Cozma
According to our database1,
Andrei Cozma
authored at least 8 papers
between 2018 and 2024.
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Bibliography
2024
CoRR, 2024
2023
Proceedings of the Advances in Neural Information Processing Systems 36: Annual Conference on Neural Information Processing Systems 2023, 2023
2021
Proceedings of the 20th Python in Science Conference 2021 (SciPy 2021), Virtual Conference, July 12, 2021
2020
Simulation of Conditional Expectations Under Fast Mean-Reverting Stochastic Volatility Models.
Proceedings of the Monte Carlo and Quasi-Monte Carlo Methods, 2020
2019
Calibration of a Hybrid Local-Stochastic Volatility Stochastic Rates Model with a Control Variate Particle Method.
SIAM J. Financial Math., 2019
2018
Strong Convergence Rates for Euler Approximations to a Class of Stochastic Path-Dependent Volatility Models.
SIAM J. Numer. Anal., 2018
Convergence of an Euler Scheme for a Hybrid Stochastic-Local Volatility Model with Stochastic Rates in Foreign Exchange Markets.
SIAM J. Financial Math., 2018