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document
Grzelak, L.A. (author)
Modelling derivative products in Finance usually starts with the specification of a system of Stochastic Differential Equations (SDEs), that corresponds to state variables like stock, interest rate, Foreign Exchange (FX) rate and volatility. By correlating the SDEs for the different asset classes one can define the hybrid models, and use them...
doctoral thesis 2011
document
Grzelak, L.A. (author), Oosterlee, C.W. (author)
We construct multi-currency models with stochastic volatility and correlated stochastic interest rates with a full matrix of correlations. We first deal with a foreign exchange (FX) model of Heston-type, in which the domestic and foreign interest rates are generated by the short-rate process of Hull-White [HW96]. We then extend the framework by...
report 2010