On Cross-Currency Models with Stochastic Volatility and Correlated Interest Rates (Q5363112): Difference between revisions
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Revision as of 19:59, 5 March 2024
scientific article; zbMATH DE number 6786426
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | On Cross-Currency Models with Stochastic Volatility and Correlated Interest Rates |
scientific article; zbMATH DE number 6786426 |
Statements
On Cross-Currency Models with Stochastic Volatility and Correlated Interest Rates (English)
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5 October 2017
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foreign exchange (FX)
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stochastic volatility
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Heston model
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stochastic interest rates
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interest rate smile
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forward characteristic function
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hybrids
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efficient calibration
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