A hybrid Markov-Functional model with simultaneous calibration to the interest rate and FX smile-Reference-Cited by-同舟云学术

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A hybrid Markov-Functional model with simultaneous calibration to the interest rate and FX smile

Published:2011-04 Issue:4 Volume:11 Page:587-597
ISSN:1469-7688
Container-title:Quantitative Finance
language:en
Short-container-title:Quantitative Finance

Author:

Fries Christian,Eckstaedt Fabian

Publisher

Informa UK Limited

Subject

General Economics, Econometrics and Finance,Finance

Link

http://www.tandfonline.com/doi/pdf/10.1080/14697680903150488

Reference17 articles.

1. MARKOV MARKET MODEL CONSISTENT WITH CAP SMILE

2. Interest Rate Models Theory and Practice

3. Eckstaedt, F. 2006. “The valuation of hybrid options with a two dimensional Markov-functional model. Diploma thesis, Bielefeld University”.

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