High order approximations of the Cox-Ingersoll-Ross process semigroup using random grids. - Aurélien Alfonsi; Edoardo Lombardo (CoRR, 2022)

High order approximations of the log-Heston process semigroup. - Aurélien Alfonsi; Edoardo Lombardo (CoRR, 2024)

High Order Approximations and Simulation Schemes for the Log-Heston Process. - Aurélien Alfonsi; Edoardo Lombardo (SIAM J. Financial Math., 2025)

Some PDE results in Heston model with applications. - Edoardo Lombardo (CoRR, 2025)

Approximation and regularity results for the Heston model and related processes. - Edoardo Lombardo (CoRR, 2025)