dynamics has a linear volatility function. In this paper, the model is extended to quadratic volatility functions which are the …

We introduce a tractable multi-currency model with stochastic volatility and correlated stochastic interest rates that … of the implied volatility surfaces of a triangle of FX rates shows the flexibility of our framework in dealing with the …

We introduce the log-normal stochastic volatility (SV) model for the dynamics of a short interest rate in the Cheyette … positive implied volatility skews observed in fixed-income derivatives. We show that our model is robust because the short rate … process does not explode in finite time, in contrast to models which mix local rate dynamics with zero-correlated volatility …

In this paper we propose a Libor model with a high-dimensional specially structured system of driving CIR volatility … calibration algorithm is FFT based, so fast and easy to implement. -- Libor modelling ; stochastic volatility ; CIR processes …

nonlinearity and asymmetry in the drift, and incorporates the level effect and stochastic volatility in the diffusion function is … asymmetric drift of the short rate, and the presence of nonlinearity, GARCH, and level effects in its volatility. The empirical … volatility of interest rate changes …

volatility-induced stationarity. Our model employs a level-dependent conditional volatility that maintains stationarity despite …

along with the specification of (a) the initial density, and (b) the volatility structure of the density. The volatility …

Brownian motion. -- asymptotic uniformity ; local limit theorem ; volatility …