Grzelak, Lech A.; Oosterlee, Cornelis W. - In: Applied Mathematical Finance 19 (2012) 1, pp. 1-35
We construct multi-currency models with stochastic volatility (SV) and correlated stochastic interest rates with a full matrix of correlations. We first deal with a foreign exchange (FX) model of Heston-type, in which the domestic and foreign interest rates are generated by the short-rate...