On Cross-Currency Models with Stochastic Volatility and Correlated Interest Rates

By Lech A. Grzelak, Cornelis W. Oosterlee. 2010

60 citations recorded by the source corpus.

Subfields: Demography, Finance

View Paper: https://www.semanticscholar.org/paper/812689ec6820df34ed777643c3c2ea1ef402b146

How researchers see this paper

The researchers whose trusted networks rank it highest, strongest advocate first. Every researcher gets a different order.

In Demography

1. Marek Rutkowski
2. R. Ahlip

In Finance

1. Marek Rutkowski
2. R. Ahlip
3. St'ephane Cr'epey
4. Damiano Brigo
5. Monique Jeanblanc
6. Tomasz R. Bielecki
7. Damir Filipovi'c
8. Antoon Pelsser

Citations in the corpus

• Pricing of foreign exchange options under the Heston stochastic volatility model and CIR interest rates (2013, methodology): “This implausible feature of interest rates is also relaxed in the present paper.20 Also, the model proposed by Grzelak and Oosterlee (2012) postulates a full correlation matrix between the exchange rate, its Heston’s volatility and interest rates, so that the model is not affine, in the usual sense.”