نتایج جستجو برای: interest rate

تعداد نتایج: 1259570  

Journal: :Entrepreneurial Business and Economics Review 2018

Journal: :The Quarterly Journal of Economics 1920

Journal: :International Journal of Trade, Economics and Finance 2015

Journal: :SSRN Electronic Journal 2006

Journal: :SSRN Electronic Journal 1990

Journal: :Journal of Monetary Economics 2014

2010
Lech A. Grzelak Cornelis W. Oosterlee

We define an equity-interest rate hybrid model in which the equity part is driven by the Heston stochastic volatility [Hes93], and the interest rate (IR) is generated by the displaced-diffusion stochastic volatility Libor Market Model [AA02]. We assume a non-zero correlation between the main processes. By an appropriate change of measure the dimension of the corresponding pricing PDE can be gre...

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