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An Equity-Interest Rate Hybrid Model with Stochastic Volatility and the Interest Rate Smile
Grzelak, Lech A. - 2014
We define an equity-interest rate hybrid model in which the equity part is driven by the Heston stochastic volatility … [Hes93], and the interest rate (IR) is generated by the displaced-diffusion stochastic volatility Libor Market Model [AA02 …]. We assume a non-zero correlation between the main processes. By an appropriate change of measure the dimension of the …
Persistent link: https://www.econbiz.de/10013070335
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The Affine Heston Model with Correlated Gaussian Interest Rates for Pricing Hybrid Derivatives
Grzelak, Lech A. - 2014
In this article we define a multi-factor equity-interest rate hybrid model with non-zero correlation between the stock … simulation scheme and investigate hedging in the presence of non-zero correlation between the processes from different asset …
Persistent link: https://www.econbiz.de/10013070982
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Stochastic interest rate modelling using a single or multiple curves : an empirical performance analysis of the Lévy forward price model
Verschuren, Robert Matthijs - 2020
performance analysis is made of the single and multiple curve LFPM, where we include four deterministic volatility specifications …-Exponential Volatility (LEV) specification and that deterministic breakpoints should be included, rather than random breakpoints …
Persistent link: https://www.econbiz.de/10012852344
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SOFR Term Structure Dynamics - Discontinuous Short Rates and Stochastic Volatility Forward Rates
Brace, Alan; Gellert, Karol; Schlögl, Erik - 2022
more diffusive fashion. We construct a tractable multifactor, stochastic volatility term structure model which incorporates …
Persistent link: https://www.econbiz.de/10014236218
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Nonparametric Interest Rate Cap Pricing : Implications for the 'Unspanned Stochastic Volatility' Puzzle
Wu, Tao L. - 2011
, leading to the so called "unspanned stochastic volatility puzzle". Additional volatility factors seem to be needed to explain … volatility from a nonparametric perspective …
Persistent link: https://www.econbiz.de/10013128393
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Nonparametric Interest Rate Cap Pricing : Implications for the 'Unspanned Stochastic Volatility'
Wu, Tao L. - 2011
, leading to the so called "unspanned stochastic volatility puzzle". Additional volatility factors seem to be needed to explain … volatility from a nonparametric perspective …
Persistent link: https://www.econbiz.de/10013131142
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On cross-currency models with stochastic volatility and correlated interest rates
Grzelak, Lech A.; Oosterlee, Cornelis W. - In: Applied mathematical finance 19 (2012) 1/2, pp. 1-35
Persistent link: https://www.econbiz.de/10009561244
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Factors’ Correlation in the Heath–Jarrow–Morton Interest Rate Model
Tchuindjo, Leonard - 2013
We propose a new derivation of the Heath–Jarrow–Morton risk-neutral drift restriction that takes into account nonzero instantaneous correlations between factors. The result allows avoiding the orthogonalization of factors and provides an approach by which interest rate derivatives can be...
Persistent link: https://www.econbiz.de/10013079559
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Convertible Bonds Valuation in a Jump Diffusion Setting with Stochastic Interest Rates
Ballotta, Laura - 2019
the inclusion of jumps, stochastic interest rates and a non-zero correlation structure between firm value and interest …
Persistent link: https://www.econbiz.de/10012906221
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Efficient and Exact Simulation of the Gaussian Affine Interest Rate Models (with Application to the Hull White Model and G2++ Model)
Ostrovski, Vladimir - 2018
The Gaussian affine interest rate models are widely used in the financial industry for pricing, hedging and also risk management purposes. We consider the multifactor models with time dependent parameters. Usually the models are simulated using some appropriate discretization schema because the...
Persistent link: https://www.econbiz.de/10012935570