On Calibration and Simulation of Local Volatility Model with Stochastic Interest Rate
Language: en
Pages: 0

On Calibration and Simulation of Local Volatility Model with Stochastic Interest Rate

Authors: Mingyang Xu
Categories:
Type: BOOK - Published: 2019 - Publisher:

GET EBOOK

Local volatility model is a relatively simple way to capture volatility skew/smile. In spite of its drawbacks, it remains popular among practitioners for deriva
Local Volatility Model With Stochastic Interest Rate
Language: en
Pages:

Local Volatility Model With Stochastic Interest Rate

Authors: Bing Hu
Categories:
Type: BOOK - Published: 2015 - Publisher:

GET EBOOK

Stochastic Interest Rates for Local Volatility Hybrids Models
Language: en
Pages: 10

Stochastic Interest Rates for Local Volatility Hybrids Models

Authors: Eric Benhamou
Categories:
Type: BOOK - Published: 2008 - Publisher:

GET EBOOK

This paper studies the impact of stochastic interest rates for local volatility hybrids. Our research shows that it is possible to explicitly determine the bias
Interest Rate Models Theory and Practice
Language: en
Pages: 544

Interest Rate Models Theory and Practice

Authors: Damiano Brigo
Categories: Mathematics
Type: BOOK - Published: 2013-04-17 - Publisher: Springer Science & Business Media

GET EBOOK

The 2nd edition of this successful book has several new features. The calibration discussion of the basic LIBOR market model has been enriched considerably, wit
Local Volatility Under Stochastic Interest Rates Using Mixture Models
Language: en
Pages: 22

Local Volatility Under Stochastic Interest Rates Using Mixture Models

Authors: Mark S. Joshi
Categories:
Type: BOOK - Published: 2016 - Publisher:

GET EBOOK

A key requirement of any equity hybrid derivatives pricing model is the ability to rapidly and accurately calibrate to vanilla option prices. To this end, we pr