Grzelak, Lech; Oosterlee, Kees - Volkswirtschaftliche Fakultät, … - 2010
We construct multi-currency models with stochastic volatility and correlated stochastic interest rates with a full matrix of correlations. We frst deal with a foreign exchange (FX) model of Heston-type, in which the domestic and foreign interest rates are generated by the short-rate process of...