On Cross-Currency Models with Stochastic Volatility and Correlated Interest Rates

DOI10.1080/1350486X.2011.570492zbMath1372.91075OpenAlexW3123515469MaRDI QIDQ5363112

Lech A. Grzelak, Cornelis W. Oosterlee

Publication date: 5 October 2017

Published in: Applied Mathematical Finance (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1080/1350486x.2011.570492

zbMATH Keywords

stochastic volatilityHeston modelstochastic interest rateshybridsefficient calibrationforeign exchange (FX)forward characteristic functioninterest rate smile

Mathematics Subject Classification ID

Stochastic models in economics (91B70) Interest rates, asset pricing, etc. (stochastic models) (91G30)

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