An equity-interest rate hybrid model with stochhastic volatility and the interest rate smile

LA Grzelak, CW Oosterlee

Research output: Book/Report › Report › Professional

Original language	English
Place of Publication	Delft
Publisher	Delft University of Technology, Faculteit Elektrotechniek, Wiskunde en Informatica
Number of pages	25
Volume	Reports of the Department of Applied Mathematics
Publication status	Published - 2010

Name
Publisher	EWI Dept. Applied Mathematics

ISSN: 1389-6520

Keywords

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title = "An equity-interest rate hybrid model with stochhastic volatility and the interest rate smile",

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author = "LA Grzelak and CW Oosterlee",

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AU - Oosterlee, CW

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KW - departmental working papers

KW - Geen BTA classificatie

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VL - Reports of the Department of Applied Mathematics

BT - An equity-interest rate hybrid model with stochhastic volatility and the interest rate smile

PB - Delft University of Technology, Faculteit Elektrotechniek, Wiskunde en Informatica

CY - Delft

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