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 …

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 …

more diffusive fashion. We construct a tractable multifactor, stochastic volatility term structure model which incorporates …

, leading to the so called "unspanned stochastic volatility puzzle". Additional volatility factors seem to be needed to explain … volatility from a nonparametric perspective …

, leading to the so called "unspanned stochastic volatility puzzle". Additional volatility factors seem to be needed to explain … volatility from a nonparametric perspective …

We introduce a refined tree method to compute option prices using the stochastic volatility model of Heston. In a first … marginal tree moments up to order two against the Heston model ones. The correlation between the driving Brownian motions is … the match between tree and model correlation. In some nodes, we are even able to further match moments of higher order …

correlation between the underlying assets and are usually priced assuming constant instantaneous correlations.This article … considers a multi-asset model based on Wishart processes that accounts for stochastic volatility and for stochastic correlations … depends crucially on the term structure of the correlation corresponding to the assets returns. Furthermore, the comparison of …