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 significantly improve this calibration process. From the conditioned calibration, large amounts of scenarios of 6 stock indices and 3 exchange rates are generated based on this hybrid model using Monte Carlo simulations. Finally we compare the Heston-Hull-White model with the Black Scholes model in the scenario-based valuation of the Guaranteed Minimum Withdrawal Benefits to see the impact of the stochastic model.