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"Calibration of a Hybrid Local-Stochastic Volatility Stochastic Rates Model ..."

Andrei Cozma, Matthieu Mariapragassam, Christoph Reisinger (2019)

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DOI: 10.1137/17M1114570

access: closed

type: Journal Article

metadata version: 2019-04-18

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Andrei Cozma, Matthieu Mariapragassam, Christoph Reisinger:
Calibration of a Hybrid Local-Stochastic Volatility Stochastic Rates Model with a Control Variate Particle Method. SIAM J. Financial Math. 10(1): 181-213 (2019)

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