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 …

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 …

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 …

Although the effect of interest rate stochasticity can safely be ignored for short-dated exchange traded volatility … institutions. We therefore extend existing model-free results for the pricing of variance swaps and more general volatility …

interest rate and allows a correlation structure between the futures price process, the futures volatility process and the …, Jarrow, and Morton (1992) framework for commodity futures prices that incorporates stochastic volatility and stochastic … interest rate process. The functional form of the futures price volatility is specified so that the model admits finite …

We introduce the log-normal stochastic volatility (SV) model for the dynamics of a short interest rate in the Cheyette … model. We assume non-zero correlation between the dynamics of the short rate and the log-normal SV driver for modelling … positive implied volatility skews observed in fixed-income derivatives. We show that our model is robust because the short rate …

.We address the problem of the consistency of the Black-Scholes model with the volatility surface and we show that, under general … conditions, the Black-Scholes formula cannot be generalized to account for the volatility smile …