Local Volatility Under Stochastic Interest Rates Using Mixture Models

SSRN Electronic Journal ◽

10.2139/ssrn.2780072 ◽

2016 ◽

Cited By ~ 2

Author(s):

Mark S. Joshi ◽

Navin Ranasinghe

Keyword(s):

Interest Rates ◽

Mixture Models ◽

Stochastic Interest Rates ◽

Local Volatility ◽

Stochastic Interest

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Local and Stochastic Volatility Under Stochastic Interest Rates Using Mixture Models and the Multidimensional Fractional FFT

SSRN Electronic Journal ◽

10.2139/ssrn.2840628 ◽

2016 ◽

Author(s):

Mark S. Joshi ◽

Navin Ranasinghe

Keyword(s):

Interest Rates ◽

Stochastic Volatility ◽

Mixture Models ◽

Stochastic Interest Rates ◽

Stochastic Interest

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LOCAL VOLATILITY FOR QUANTO OPTION PRICES WITH STOCHASTIC INTEREST RATES

Korean Journal of Mathematics ◽

10.11568/kjm.2015.23.1.81 ◽

2015 ◽

Vol 23 (1) ◽

pp. 81-91

Author(s):

Youngrok Lee ◽

Jaesung Lee

Keyword(s):

Interest Rates ◽

Option Prices ◽

Stochastic Interest Rates ◽

Local Volatility ◽

Stochastic Interest

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Calibration of local volatility model with stochastic interest rates by efficient numerical PDE methods

Decisions in Economics and Finance ◽

10.1007/s10203-019-00232-3 ◽

2019 ◽

Vol 42 (2) ◽

pp. 609-637 ◽

Cited By ~ 1

Author(s):

Julien Hok ◽

Shih-Hau Tan

Keyword(s):

Interest Rates ◽

Stochastic Interest Rates ◽

Local Volatility ◽

Local Volatility Model ◽

Volatility Model ◽

Stochastic Interest ◽

Pde Methods

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Extensions of Dupire Formula: Stochastic Interest Rates and Stochastic Local Volatility

SSRN Electronic Journal ◽

10.2139/ssrn.3598736 ◽

2020 ◽

Author(s):

Orcan Ogetbil

Keyword(s):

Interest Rates ◽

Stochastic Interest Rates ◽

Local Volatility ◽

Stochastic Interest ◽

Stochastic Local Volatility

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Stochastic Interest Rates for Local Volatility Hybrids Models

SSRN Electronic Journal ◽

10.2139/ssrn.1107711 ◽

2008 ◽

Cited By ~ 10

Author(s):

Eric Benhamou ◽

Arnaud Rivoira ◽

Anne Gruz

Keyword(s):

Interest Rates ◽

Stochastic Interest Rates ◽

Local Volatility ◽

Stochastic Interest

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Optimal Portfolios with Stochastic Interest Rates and Defaultable Assets

10.1007/978-3-642-17041-6 ◽

2004 ◽

Cited By ~ 7

Author(s):

Holger Kraft

Keyword(s):

Interest Rates ◽

Stochastic Interest Rates ◽

Optimal Portfolios ◽

Stochastic Interest

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Impacts of Jumps and Stochastic Interest Rates on the Fair Costs of Guaranteed Minimum Death Benefit Contracts

SSRN Electronic Journal ◽

10.2139/ssrn.1283186 ◽

2008 ◽

Author(s):

Francois Quittard-Pinon ◽

Rivo A Randrianarivony

Keyword(s):

Interest Rates ◽

Stochastic Interest Rates ◽

Stochastic Interest

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A Note on Exchange Options Under Stochastic Interest Rates

SSRN Electronic Journal ◽

10.2139/ssrn.1626020 ◽

2010 ◽

Cited By ~ 1

Author(s):

Carole Bernard ◽

Zhenyu Cui

Keyword(s):

Interest Rates ◽

Stochastic Interest Rates ◽

Stochastic Interest ◽

Exchange Options

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Dynamic Model of Pension Savings Management with Stochastic Interest Rates and Stock Returns

SSRN Electronic Journal ◽

10.2139/ssrn.1635879 ◽

2010 ◽

Author(s):

Igor Melichercik ◽

Daniel Sevcovic

Keyword(s):

Interest Rates ◽

Stock Returns ◽

Dynamic Model ◽

Stochastic Interest Rates ◽

Stochastic Interest

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A Hybrid Model for Equity Indices and Stochastic Interest Rates

SSRN Electronic Journal ◽

10.2139/ssrn.2173273 ◽

2012 ◽

Author(s):

Jan F. Baldeaux ◽

Man Chung Fung ◽

Katja Ignatieva ◽

Eckhard Platen

Keyword(s):

Interest Rates ◽

Hybrid Model ◽

Stochastic Interest Rates ◽

Stochastic Interest ◽

Equity Indices

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