I just see a paper 'A decomposition of Bessel bridges' by Pitman, J. and Yor, M. might be helpful. In this paper, the Bessel bridge is decomposed into some processes that might be easy to simulate.

Let [$]R_{t}[$] be the CIR process at time [$]t[$]. I want to calculate the expectation $$E(R_{t}|R_{T})$$ conditional on [$]R_{T}[$] and [$]R_{0}[$] , where [$]t<T[$]. Then, is there a good way to calculate it?

Still a question: can we use the random samples, such as the normal rv, from the fine dt mesh for the rough dt mesh ? It seems in the literature that the simulation on the fine dt mesh and on the rough dt mesh are completely independent.

<t>I have a problem about whether one can allow some dependence when using Richardson extrapolation method.Consider the Euler scheme for the numerical solution of a SDE with the Richardson extrapolation: Let [$]X_{T}(h)[$] be the numerical approximation of [$]X_{T}[$], the solution of a SDE at time ...

<t>Hi, I want to try my luck by submiting one of my papers to Mathematical Finance, but I don't what is the right Latex font type or the relevant package for the journal. It is not on the website of MF. Could anyone be kind to help, please? Further, I see authors have to choose one of the three co-e...

<t>I am a PhD student doing research in mathematical finance, specifically, numerical SDEs in derivative pricing. However, in my department, there is no degree called PhD in mathematical finance, but instead, I can either choose the degree PhD in mathematics or PhD in acturial science. I don't know ...

<t>QuoteOriginally posted by: neuroguyYou may even encounter the scenario that I once encoutered, where your paper is rejected on failry spurrious grounds by a rather senior academic (whose identity you have been able to figure out by the references they make in their comments), only to find several...

Thanks for your encouragement. It is not realistic to expect every report to be gentle, and all I can do is to try to make my work better. Please delete this post if necessary.

<t>Hi, I am confused whether you have a similar experience. I received the rejection letter for my first paper submitted to a reputated journal. After a long time wating, to my suprise, the reviewer's comments look very aggressive and emotional for me. The review report is only one-page, but none of...

Thanks for your suggestion. This journal looks pretty nice. I like the journals with long histories, whose reputations are build for a long time.

<t>Does anyone have ideas how to rank the following journals in applied probability according to the journal reputaionAdvance in applied probability (IF: 0.900)Electronic journal of probability (IF: 0.785)METHODOLOGY AND COMPUTING IN APPLIED PROBABILITY (IF: 0.647)Journal of applied probability ( IF...

Thank you, Fabrice, I like your very useful book.

Never mind, Alan. Thanks for the book you recommend.

<t>QuoteOriginally posted by: AlanWhat is (i) the cutoff value (vmax), (ii) the real part of your answer and (iii) the known answer?In my code, the cutoff value vmax is N=100, and the step size h is 0.001. I test an european call with true price 34.9998, the second case in Broadie & Kaya2006, an...

<r>Alan, sorry for my late response. I tried the formula from Carr and Madan (1999) for ATM option, but only replace FFT with simpson' rule. The result I calculate is quite strange, with complex number. I checked my code many times, but still cannot find out what goes wrong. I would thanks a lot if ...