On Cross-Currency Models with Stochastic Volatility and Correlated Interest Rates (Q5363112)

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scientific article; zbMATH DE number 6786426
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On Cross-Currency Models with Stochastic Volatility and Correlated Interest Rates
scientific article; zbMATH DE number 6786426

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    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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