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pro vyhledávání: '"Grzelak, Lech"'
Autor:
van der Stoep, Anthonie W.1,2,3 (AUTHOR) Anton.van.der.Stoep@rabobank.com, Grzelak, Lech A.3,4 (AUTHOR), Oosterlee, Cornelis W.2,3 (AUTHOR)
Publikováno v:
Quantitative Finance. Sept2017, Vol. 17 Issue 9, p1347-1366. 20p.
Autor:
Grzelak, Lech, Oosterlee, Kees
We construct multi-currency models with stochastic volatility and correlated stochastic interest rates with a full matrix of correlations. We frst deal with a foreign exchange (FX) model of Heston-type, in which the domestic and foreign interest rate
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=od_______645::72ece612c08fef156ecfc3c8479ef7ec
https://mpra.ub.uni-muenchen.de/23020/1/MPRA_paper_23020.pdf
https://mpra.ub.uni-muenchen.de/23020/1/MPRA_paper_23020.pdf