We construct multi-currency models with stochastic volatility and correlated stochastic interest rates with a full matrix of correlations. We first deal with a foreign exchange (FX) model of Heston-type, in which the domestic and foreign interest rates are generated by the short-rate process of Hull-White [HW96]. We then extend the framework by modeling the interest rate by a stochastic volatil...

It summarizes the development of theory and models of interest rate term structure, analyzes and resolves three difficult problems in term structure. They are the nonlinear of mean drift, the conditional heteroskedasticity of volatility and extreme interest rate because of paroxysmal events. It builds the stochastic mean and stochastic volatility interest rate term structure model, SVJ-SD model...

With the proposed RBC requirements for variable annuities with guarantees (so called C3 Phase II) requiring stochastic testing, there should be a lot of interest in the approaches to reducing the number of runs. This article provides strategies to reduce number of runs in stochastic insurance modeling as well as cash flow testing when the interest scenarios are stochastic. Three interest rate s...

  The optimal harvesting policy is calculated as a function of the entering stock, the price state, the harvesting cost, and the rate of interest in the capital market. In order to determine the optimal harvest schedule, the growth function and stumpage price process are estimated for the Swedish mixed species forests. The stumpage price is assumed to follow a stochastic Markov process. A stoch...