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Finance / Hull–White model / LIBOR market model / Heston model / Stochastic volatility / Local volatility / Short-rate model / Forward measure / Cox–Ingersoll–Ross model / Mathematical finance / Financial economics / Statistics


DELFT UNIVERSITY OF TECHNOLOGY REPORTAn Equity-Interest Rate Hybrid Model With Stochastic Volatility And The Interest Rate Smile Lech A. Grzelak, Cornelis W. Oosterlee
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Document Date: 2011-05-11 08:16:58


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City

Amsterdam / Delft / /

Company

Cox / /

Country

Netherlands / /

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Facility

The square / Delft Institute of Applied Mathematics / DELFT UNIVERSITY OF TECHNOLOGY REPORT / Delft University of Technology / /

IndustryTerm

equity products / hybrid product / path-sensitive products / equity plain vanilla products / basic hybrid products / hybrid products / equity-interest rate hybrid products / empty products / equity-interest rates hybrid products / bank / /

Organization

Department of Applied Mathematical Analysis Delft / DELFT UNIVERSITY OF TECHNOLOGY / Delft Institute of Applied Mathematics / DELFT UNIVERSITY OF TECHNOLOGY REPORT / Department of Applied Mathematical Analysis / /

Person

Libor / F TN / /

Position

straight-forward / Heston model for equity / forward / /

Technology

simulation / /

SocialTag