Dual-curve Hull-White interest rate model with stochastic volatility

DOI10.1007/S13160-017-0260-1zbMath1386.91136OpenAlexW2734806316WikidataQ58980630 ScholiaQ58980630MaRDI QIDQ1684766

Wanyang Liang, Mei Choi Chiu, Hoi Ying Wong

Publication date: 12 December 2017

Published in: Japan Journal of Industrial and Applied Mathematics (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1007/s13160-017-0260-1

zbMATH Keywords

stochastic volatilitycredit crunchinterest rate derivativesmulti-curve models

Mathematics Subject Classification ID

Numerical methods (including Monte Carlo methods) (91G60) Interest rates, asset pricing, etc. (stochastic models) (91G30) Derivative securities (option pricing, hedging, etc.) (91G20) Credit risk (91G40)

Cites Work

• Matrix Riccati equations in control and systems theory
• The Shape and Term Structure of the Index Option Smirk: Why Multifactor Stochastic Volatility Models Work So Well
• A multi-quality model of interest rates
• Interest rate models -- theory and practice

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