On Cross-Currency Models with Stochastic Volatility and Correlated Interest Rates (Q5363112)
From MaRDI portal
 | This is the item page for this Wikibase entity, intended for internal use and editing purposes. Please use this page instead for the normal view: On Cross-Currency Models with Stochastic Volatility and Correlated Interest Rates |
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)
0 references
5 October 2017
0 references
foreign exchange (FX)
0 references
stochastic volatility
0 references
Heston model
0 references
stochastic interest rates
0 references
interest rate smile
0 references
forward characteristic function
0 references
hybrids
0 references
efficient calibration
0 references
