Pages that link to "Item:Q5363112"

The following pages link to On Cross-Currency Models with Stochastic Volatility and Correlated Interest Rates (Q5363112):

Displaying 23 items.

• Pricing FX options in the Heston/CIR jump-diffusion model with log-normal and log-uniform jump amplitudes (Q274846) (← links)
• A dimension reduction Shannon-wavelet based method for option pricing (Q1635866) (← links)
• A multiquadric RBF-FD scheme for simulating the financial HHW equation utilizing exponential integrator (Q1713627) (← links)
• Hybrid equity swap, cap, and floor pricing under stochastic interest by Markov chain approximation (Q2098074) (← links)
• Pricing of FX options in the MPT/CIR jump-diffusion model with approximative fractional stochastic volatility (Q2163921) (← links)
• Sparse grid method for highly efficient computation of exposures for xVA (Q2168601) (← links)
• Pricing the financial Heston-Hull-White model with arbitrary correlation factors via an adaptive FDM (Q2203803) (← links)
• A closed-form pricing formula for variance swaps under MRG-Vasicek model (Q2322792) (← links)
• A multi-level dimension reduction Monte-Carlo method for jump-diffusion models (Q2360709) (← links)
• Pricing inflation products with stochastic volatility and stochastic interest rates (Q2442529) (← links)
• Foreign exchange options on Heston-CIR model under Lévy process framework (Q2698161) (← links)
• HEAT KERNEL MODELS FOR ASSET PRICING (Q2941066) (← links)
• Smile and default: the role of stochastic volatility and interest rates in counterparty credit risk (Q4554240) (← links)
• Calibrating a market model with stochastic volatility to commodity and interest rate risk (Q4555116) (← links)
• A novel Monte Carlo approach to hybrid local volatility models (Q4555144) (← links)
• Forward Start Foreign Exchange Options Under Heston’s Volatility and the CIR Interest Rates (Q4561924) (← links)
• A dimension and variance reduction Monte-Carlo method for option pricing under jump-diffusion models (Q4610213) (← links)
• Convergence of an Euler Scheme for a Hybrid Stochastic-Local Volatility Model with Stochastic Rates in Foreign Exchange Markets (Q4635245) (← links)
• Semi-analytical Pricing of Currency Options in the Heston/CIR Jump-Diffusion Hybrid Model (Q4682470) (← links)
• Dimension and variance reduction for Monte Carlo methods for high-dimensional models in finance (Q4682492) (← links)
• An efficient conditional Monte Carlo method for European option pricing with stochastic volatility and stochastic interest rate (Q5030552) (← links)
• Pricing of foreign exchange options under the Heston stochastic volatility model and CIR interest rates (Q5397431) (← links)
• XVA in a multi-currency setting with stochastic foreign exchange rates (Q6102925) (← links)