High order discretization schemes for the CIR process: application to Affine Term Structure and Heston models

This paper presents weak second and third order schemes for the Cox-Ingersoll-Ross (CIR) process,  without any restriction on its
parameters. At the same time, it gives a general   recursive
construction method to get weak second-order schemes that extends the one introduced by Ninomiya and Victoir. Combining these both results, this allows to propose a second-order scheme for more general affine diffusions. Simulation examples are given to illustrate the convergence of these schemes on CIR and Heston models