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A Hybrid Stochastic Volatility Model Incorporating Local Volatility

Tian, Yu - 2014

In this paper, we present our study on a hybrid stochastic volatility model incorporating local volatility for pricing options in the foreign exchange (FX) market. The hybrid stochastic-local volatility model (SLV) could match the implied volatility surface well and meanwhile shows the...

Persistent link: https://www.econbiz.de/10013066022

Analytical approximation to constant maturity swap convexity corrections in a multi-factor SABR model

Chen, Bin; Oosterlee, Cornelis W.; Weeren, Sacha van - In: International journal of theoretical and applied finance 13 (2010) 7, pp. 1019-1046

Persistent link: https://www.econbiz.de/10008906224

An equity-interest rate hybrid model with stochastic volatility and the interest rate smile

Grzelak, Lech A.; Oosterlee, Cornelis W. - In: The journal of computational finance 15 (2011/12) 4, pp. 45-77

Persistent link: https://www.econbiz.de/10009575390

A low-bias simulation scheme for the Sabr Stochastic Volatility model

Chen, Bin; Oosterlee, Cornelis W.; Weide, Hans van der - In: International journal of theoretical and applied finance 15 (2012) 2, pp. 1-37

Persistent link: https://www.econbiz.de/10009624504

Fast and accurate exercise policies for Bermudan swaptions in the LIBOR market model

Karlsson, Patrik; Jain, Shashi; Oosterlee, Cornelis … - In: International journal of financial engineering 3 (2016) 1, pp. 1-22

Persistent link: https://www.econbiz.de/10011532753

The Heston stochastic-local volatility model : efficient Monte Carlo simulation

Stoep, Anthonie W. van der; Grzelak, Lech A.; … - In: International journal of theoretical and applied finance 17 (2014) 7, pp. 1-30

Persistent link: https://www.econbiz.de/10010498851

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

On the application of spectral filters in a Fourier option pricing technique

Ruijter, Marjon; Versteegh, M.; Oosterlee, Cornelis … - In: The journal of computational finance 19 (2015) 1, pp. 75-106

Persistent link: https://www.econbiz.de/10011480718

Efficient computation of exposure profiles for counterparty credit risk

Graaf, Cornelis S. L. de; Feng, Qian; Kandhai, Drona; … - In: International journal of theoretical and applied finance 17 (2014) 4, pp. 1-23

Persistent link: https://www.econbiz.de/10010391508

The seven-league scheme : deep learning for large time step Monte Carlo simulations of stochastic differential equations

Liu, Shuaiqiang; Grzelak, Lech A.; Oosterlee, Cornelis … - In: Risks : open access journal 10 (2022) 3, pp. 1-27

We propose an accurate data-driven numerical scheme to solve stochastic differential equations (SDEs), by taking large time steps. The SDE discretization is built up by means of the polynomial chaos expansion method, on the basis of accurately determined stochastic collocation (SC) points. By...

Persistent link: https://www.econbiz.de/10013093086