An Affine Multicurrency Model with Stochastic Volatility and Stochastic Interest Rates

DOI10.1137/130922902zbMath1308.91162arXiv1302.7246OpenAlexW2028317670MaRDI QIDQ2940769

Martino Grasselli, Alessandro Gnoatto

Publication date: 20 January 2015

Published in: SIAM Journal on Financial Mathematics (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/1302.7246

zbMATH Keywords

Wishart processFX optionslong-dated FX

Mathematics Subject Classification ID

Applications of stochastic analysis (to PDEs, etc.) (60H30) Interest rates, asset pricing, etc. (stochastic models) (91G30) Derivative securities (option pricing, hedging, etc.) (91G20)

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