Researcher releases revised version of paper on direct inversion method for squared Bessel process simulation
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Simon J. A. Malham, Anke Wiese, and Yifan Xu released a revised version of the paper on a direct inversion method for squared Bessel processes and non-central chi-square sampling, with application to CIR model calibration. This version is a major rewrite and expansion of the original paper, adding a new parameter sensitivity section (Section 4) and a CIR model calibration section (Section 5.4). The direct inversion method proposed in this study can efficiently and accurately generate non-central chi-square variables, applicable to any degrees of freedom values (including small degrees of freedom scenarios that are computationally challenging). It can generate non-central chi-square samples across the full range of degrees of freedom using the same set of Chebyshev coefficients, making it suitable for model calibration scenarios and supporting efficient and accurate simulation of CIR processes.
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- arXiv q-finA Direct Inversion Method for Chi-Square Sampling, Squared Bessel Processes, and Related Applications
This study proposes a new direct inversion method for simulating squared Bessel processes, which can efficiently and accurately generate non-central chi-square variables for any degrees of freedom, including small degrees of freedom scenarios that are computationally challenging. The method can generate non-central chi-square samples across the full range of degrees of freedom using the same set of Chebyshev coefficients, making it suitable for model calibration and supporting efficient and accurate simulation of CIR processes.
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