Grzelak, Lech A.; Oosterlee, Cornelis W.; Weeren, Sacha Van - In: Quantitative Finance 12 (2012) 1, pp. 89-105
We present an extension of stochastic volatility equity models by a stochastic Hull--White interest rate component while assuming non-zero correlations between the underlying processes. We place these systems of stochastic differential equations in the class of affine jump-diffusion--linear...