A hybrid Markov-Functional model with simultaneous calibration to the interest rate and FX smile (Q3005819): Difference between revisions
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| Property / full work available at URL: https://doi.org/10.1080/14697680903150488 / rank | |||
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| Property / OpenAlex ID: W3124395908 / rank | |||
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| Property / cites work: Financial Derivatives in Theory and Practice / rank | |||
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| Property / cites work: Markov-functional interest rate models / rank | |||
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| Property / cites work: Q4504336 / rank | |||
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Latest revision as of 03:14, 4 July 2024
scientific article
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | A hybrid Markov-Functional model with simultaneous calibration to the interest rate and FX smile |
scientific article |
Statements
A hybrid Markov-Functional model with simultaneous calibration to the interest rate and FX smile (English)
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9 June 2011
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derivatives hedging
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derivatives pricing
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derivatives risk management
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derivative pricing models
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Monte Carlo methods
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