Fast strong approximation Monte Carlo schemes for stochastic volatility models

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An Euler-type method for the strong approximation of the Cox–Ingersoll–Ross process (2012, methodology): “Numerical Methods for the CIR Process Discretization schemes for the CIR process were proposed in numerous articles, among these are [2, 3, 4, 7, 10, 15, 17, 19, 23, 28].”
A LOW-BIAS SIMULATION SCHEME FOR THE SABR STOCHASTIC VOLATILITY MODEL (2012, methodology): “and Jäckel [19] proposed a higher-order Monte Carlo scheme based on an implicit Milstein discretization for the CEV process.”
A comparison of biased simulation schemes for stochastic volatility models (2010, background): “The recent paper of Kahl and Jackel ( 2006 ) considers a number of discretization methods for a wide range of stochastic volatility models.”
COMPLEX LOGARITHMS IN HESTON‐LIKE MODELS (2010, methodology): “In this paper we have analysed the complex discontinuities which are found when evaluating the closed-form characteristic function of several popular option pricing models. Such discontinuities have first been documented in option pricing by Schöbel and Zhu [1999], and are, at least in the Heston an”
Multilevel Monte Carlo Path Simulation (2008, background): “probability of the discrete approximation to the volatility becoming negative approaches zero, for the chosen values of λ, σ, ξ [12].”