Open AccessAn equity–interest rate hybrid model with stochastic volatility and the interest rate smile
Author(s) -
Lech A. Grzelak,
Cornelis W. Oosterlee
Publication year - 2012
Publication title -
the journal of computational finance
Language(s) - English
Resource type - Journals
SCImago Journal Rank - 0.677
H-Index - 14
eISSN - 1755-2850
pISSN - 1460-1559
DOI - 10.21314/jcf.2012.238
Subject(s) - libor market model , interest rate , stochastic volatility , volatility smile , econometrics , short rate model , rendleman–bartter model , skew , interest rate derivative , heston model , affine transformation , stochastic differential equation , implied volatility , sabr volatility model , volatility (finance) , economics , mathematics , computer science , finance , telecommunications , pure mathematics
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