A hybrid Markov-Functional model with simultaneous calibration to the interest rate and FX smile (Q3005819): Difference between revisions
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Revision as of 09:20, 5 March 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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