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Publication:2803996

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zbMath1403.91009MaRDI QIDQ2803996

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Publication date: 27 April 2016

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zbMATH Keywords

stochastic volatility risk management interest rate models financial derivatives pricing contingent claims

Mathematics Subject Classification ID

Proceedings, conferences, collections, etc. pertaining to game theory, economics, and finance (91-06) Interest rates, asset pricing, etc. (stochastic models) (91G30) Derivative securities (option pricing, hedging, etc.) (91G20) Credit risk (91G40)

Related Items (4)

A novel Monte Carlo approach to hybrid local volatility models ⋮ Consistent modeling of S\&P 500 and VIX derivatives ⋮ Regime-switching stochastic volatility model: estimation and calibration to VIX options ⋮ Calibration of a Hybrid Local-Stochastic Volatility Stochastic Rates Model with a Control Variate Particle Method

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