Extension of stochastic volatility models with hull-white interest rate process

LA Grzelak, CW Oosterlee, S. van Weeren

Research output: Book/Report › Report › Professional

Original language	Undefined/Unknown
Place of Publication	Delft
Publisher	EWI Ch. Numerical Analysis
Number of pages	24
Volume	Reports of the Department of Applied Mathematical Analysis
Publication status	Published - 2008

Name
Publisher	EWI Ch. Numerical Analysis

ISSN 1389-6520

Keywords

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title = "Extension of stochastic volatility models with hull-white interest rate process",

keywords = "Geen BTA classificatie, Geen VSNU-classificatie",

author = "LA Grzelak and CW Oosterlee and {van Weeren}, S.",

note = "ISSN 1389-6520",

year = "2008",

language = "Undefined/Unknown",

volume = "Reports of the Department of Applied Mathematical Analysis",

publisher = "EWI Ch. Numerical Analysis",

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TY - BOOK

T1 - Extension of stochastic volatility models with hull-white interest rate process

AU - Grzelak, LA

AU - Oosterlee, CW

AU - van Weeren, S.

N1 - ISSN 1389-6520

PY - 2008

Y1 - 2008

KW - Geen BTA classificatie

KW - Geen VSNU-classificatie

M3 - Report

VL - Reports of the Department of Applied Mathematical Analysis

BT - Extension of stochastic volatility models with hull-white interest rate process

PB - EWI Ch. Numerical Analysis

CY - Delft

ER -