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 …

guaranteeing them a secured income stream. Due to the long investment horizons involved, stochastic volatility and stochastic …

Stochastic volatility, local volatility and stochastic interest rates are three of the most important extensions to the …

Volatility and Stochastic Interest rates. In this paper, we examine the combine effect of a Heston-type model for the underlying … see that stochastic volatility and stochastic interest rates have an impact on the resulting fair value of the contract … and the resulting fair fee as well as mainly on the vega hedge. Interestingly, using a stochastic volatility model leads …

We construct multi-currency models with stochastic volatility and correlated stochastic interest rates with a full … interest rate by a stochastic volatility displaced-diffusion Libor Market Model [AA02], which can model an interest rate smile …

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 …

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 …

vanilla option prices. To this end, we present two methods for calibrating a local volatility model under correlated … volatility function that is consistent with this mixture model …

Volatility and Stochastic Interest rates. In this paper, we examine the combine effect of a Heston-type model for the underlying … see that stochastic volatility and stochastic interest rates have an impact on the resulting fair value of the contract … and the resulting fair fee as well as mainly on the vega hedge. Interestingly, using a stochastic volatility model leads …