Calibration of a Hybrid Local-Stochastic Volatility Stochastic Rates Model with a Control Variate Particle Method
Cozma, Andrei, Mariapragassam, Matthieu, Reisinger, ChristophVolume:
10
Journal:
SIAM Journal on Financial Mathematics
DOI:
10.1137/17M1114570
Date:
January, 2019
File:
PDF, 3.49 MB
2019