The Hybrid Stochastic-Local Volatility Model with Applications in Pricing FX Options

Author:

Tian Yu

Publisher

Elsevier BV

Reference179 articles.

1. After finishing the bachelor's thesis on market risk measurement and portfolio allocation supervised by Assoc. Prof. Xiaoxia Rong in mid-2007, he was sponsored by an ABN AMRO Top Talent Fellowship to study computational finance at Delft University of Technology, the Netherlands, and did the master's thesis on market liquidity risk as a trainee at Group Risk Analytics of Royal Bank of Scotland (RBS) in Amsterdam (a former part of ABN AMRO), supervised by Dr;Vita Yu Tian;Oscar) was born in 1985 in Zaozhuang City,2003

2. He also worked part-time for Monash University as a teaching associate in undergraduate mathematics and for CSIRO as a;Assoc. Prof. Kais Hamza (Monash University) and Dr. Zili Zhu (CSIRO),2010

3. Tomalin, Michael Hardwick, Chairman, National Bank of Abu Dhabi Private Bank Suisse SA, Geneva, since 2005; Board Advisor, National Bank of Abu Dhabi, since 2016 (Group Chief Executive, 1999–2013; Executive Director, 2012–13; non-executive Director, 2013–16)

4. Pricing window barrier options with a hybrid stochastic-local volatility model;Y Tian;IEEE Conference on Computational Intelligence for Financial Engineering & Economics,2014

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