A hybrid Markov-Functional model with simultaneous calibration to the interest rate and FX smile

DOI10.1080/14697680903150488zbMath1214.91118OpenAlexW3124395908MaRDI QIDQ3005819

Fabian Eckstaedt, Christian Fries

Publication date: 9 June 2011

Published in: Quantitative Finance (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1080/14697680903150488

zbMATH Keywords

Monte Carlo methodsderivatives pricingderivatives hedgingderivative pricing modelsderivatives risk management

Mathematics Subject Classification ID

Numerical methods (including Monte Carlo methods) (91G60) Monte Carlo methods (65C05) Interest rates, asset pricing, etc. (stochastic models) (91G30) Derivative securities (option pricing, hedging, etc.) (91G20)

Cites Work

• Unnamed Item
• Financial Derivatives in Theory and Practice
• Markov-functional interest rate models

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