An Equity and Foreign Exchange Heston-Hull-White model for Variable Annuities

This project aims to develop and validate the Heston-Hull-White model on Variable Annuities. Such a stochastic modelling assumption is crucial in pricing and hedging the long term exotic options. We calibrate the Equity and FX Heston-Hull-White model in the corresponding markets. A novel numerical integration option pricing method-COS method...