Ahdida, Abdelkoddousse; Alfonsi, Aurélien - HAL - 2013
This work deals with the simulation of Wishart processes and affine diffusions on positive semidefinite matrices. To do … Wishart distributions, without any restriction on the parameters. It is related but extends existing exact simulation methods … second-order schemes for general affine diffusions. These schemes are in practice faster than the exact simulation to sample …