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On The Heston Model with Stochastic Interest Rates

Citations

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Cited by:

  1. Ben-Zhang Yang & Xiaoping Lu & Guiyuan Ma & Song-Ping Zhu, 2020. "Robust Portfolio Optimization with Multi-Factor Stochastic Volatility," Journal of Optimization Theory and Applications, Springer, vol. 186(1), pages 264-298, July.
  2. Laura Ballotta & Ioannis Kyriakou, 2015. "Convertible bond valuation in a jump diffusion setting with stochastic interest rates," Quantitative Finance, Taylor & Francis Journals, vol. 15(1), pages 115-129, January.
  3. Darren Shannon & Grigorios Fountas, 2021. "Extending the Heston Model to Forecast Motor Vehicle Collision Rates," Papers 2104.11461, arXiv.org, revised May 2021.
  4. E. Ngounda & K. C. Patidar & E. Pindza, 2014. "A Robust Spectral Method for Solving Heston’s Model," Journal of Optimization Theory and Applications, Springer, vol. 161(1), pages 164-178, April.
  5. Andrei Cozma & Christoph Reisinger, 2015. "A mixed Monte Carlo and PDE variance reduction method for foreign exchange options under the Heston-CIR model," Papers 1509.01479, arXiv.org, revised Apr 2016.
  6. Ziveyi, Jonathan & Blackburn, Craig & Sherris, Michael, 2013. "Pricing European options on deferred annuities," Insurance: Mathematics and Economics, Elsevier, vol. 52(2), pages 300-311.
  7. Andrei Cozma & Christoph Reisinger, 2015. "Exponential integrability properties of Euler discretization schemes for the Cox-Ingersoll-Ross process," Papers 1601.00919, arXiv.org.
  8. Kenji Nagami, 2019. "Expansion method for pricing foreign exchange options under stochastic volatility and interest rates," Papers 1908.09640, arXiv.org.
  9. Roman Horsky & Tilman Sayer, 2015. "Joining The Heston And A Three-Factor Short Rate Model: A Closed-Form Approach," International Journal of Theoretical and Applied Finance (IJTAF), World Scientific Publishing Co. Pte. Ltd., vol. 18(08), pages 1-17, December.
  10. Misha Beek & Michel Mandjes & Peter Spreij & Erik Winands, 2020. "Regime switching affine processes with applications to finance," Finance and Stochastics, Springer, vol. 24(2), pages 309-333, April.
  11. Andrey Itkin, 2015. "LSV models with stochastic interest rates and correlated jumps," Papers 1511.01460, arXiv.org, revised Nov 2016.
  12. Long Teng, 2021. "The Heston Model with Time-Dependent Correlation Driven by Isospectral Flows," Mathematics, MDPI, vol. 9(9), pages 1-8, April.
  13. Benjamin Cheng & Christina Nikitopoulos-Sklibosios & Erik Schlogl, 2016. "Empirical Pricing Performance in Long-Dated Crude Oil Derivatives: Do Models with Stochastic Interest Rates Matter?," Research Paper Series 367, Quantitative Finance Research Centre, University of Technology, Sydney.
  14. Long Teng & Matthias Ehrhardt & Michael Günther, 2016. "On The Heston Model With Stochastic Correlation," International Journal of Theoretical and Applied Finance (IJTAF), World Scientific Publishing Co. Pte. Ltd., vol. 19(06), pages 1-25, September.
  15. Andrei Cozma & Matthieu Mariapragassam & Christoph Reisinger, 2015. "Convergence of an Euler scheme for a hybrid stochastic-local volatility model with stochastic rates in foreign exchange markets," Papers 1501.06084, arXiv.org, revised Oct 2016.
  16. Fazlollah Soleymani & Andrey Itkin, 2019. "Pricing foreign exchange options under stochastic volatility and interest rates using an RBF--FD method," Papers 1903.00937, arXiv.org.
  17. Baron Law, 2021. "Correlation Estimation in Hybrid Systems," Papers 2111.06042, arXiv.org, revised Jul 2023.
  18. Maria Cristina Recchioni & Yu Sun & Gabriele Tedeschi, 2017. "Can negative interest rates really affect option pricing? Empirical evidence from an explicitly solvable stochastic volatility model," Quantitative Finance, Taylor & Francis Journals, vol. 17(8), pages 1257-1275, August.
  19. M. Briani & L. Caramellino & A. Zanette, 2015. "A hybrid tree/finite-difference approach for Heston-Hull-White type models," Papers 1503.03705, arXiv.org, revised Dec 2017.
  20. Lech A. Grzelak & Cornelis W. Oosterlee, 2012. "On Cross-Currency Models with Stochastic Volatility and Correlated Interest Rates," Applied Mathematical Finance, Taylor & Francis Journals, vol. 19(1), pages 1-35, February.
  21. Ben-zhang Yang & Jia Yue & Nan-jing Huang, 2017. "Variance swaps under L\'{e}vy process with stochastic volatility and stochastic interest rate in incomplete markets," Papers 1712.10105, arXiv.org, revised Mar 2018.
  22. Benjamin Tin Chun Cheng, 2017. "Pricing and Hedging of Long-Dated Commodity Derivatives," PhD Thesis, Finance Discipline Group, UTS Business School, University of Technology, Sydney, number 2-2017.
  23. repec:uts:finphd:37 is not listed on IDEAS
  24. Yijuan Liang & Xiuchuan Xu, 2019. "Variance and Dimension Reduction Monte Carlo Method for Pricing European Multi-Asset Options with Stochastic Volatilities," Sustainability, MDPI, vol. 11(3), pages 1-21, February.
  25. Cui, Zhenyu & Lars Kirkby, J. & Nguyen, Duy, 2017. "A general framework for discretely sampled realized variance derivatives in stochastic volatility models with jumps," European Journal of Operational Research, Elsevier, vol. 262(1), pages 381-400.
  26. Maya Briani & Lucia Caramellino & Giulia Terenzi & Antonino Zanette, 2016. "Numerical stability of a hybrid method for pricing options," Papers 1603.07225, arXiv.org, revised Dec 2019.
  27. M. Escobar & D. Neykova & R. Zagst, 2017. "HARA utility maximization in a Markov-switching bond–stock market," Quantitative Finance, Taylor & Francis Journals, vol. 17(11), pages 1715-1733, November.
  28. Lay Harold A. & Colgin Zane & Reshniak Viktor & Khaliq Abdul Q. M., 2018. "On the implementation of multilevel Monte Carlo simulation of the stochastic volatility and interest rate model using multi-GPU clusters," Monte Carlo Methods and Applications, De Gruyter, vol. 24(4), pages 309-321, December.
  29. Kim, Seong-Tae & Kim, Jeong-Hoon, 2020. "Stochastic elasticity of vol-of-vol and pricing of variance swaps," Mathematics and Computers in Simulation (MATCOM), Elsevier, vol. 177(C), pages 420-440.
  30. Xin‐Jiang He & Wenting Chen, 2021. "A semianalytical formula for European options under a hybrid Heston–Cox–Ingersoll–Ross model with regime switching," International Journal of Finance & Economics, John Wiley & Sons, Ltd., vol. 26(1), pages 343-352, January.
  31. Long Teng & Matthias Ehrhardt & Michael Günther, 2017. "Numerical Simulation of the Heston Model under Stochastic Correlation," IJFS, MDPI, vol. 6(1), pages 1-16, December.
  32. F. L. Wolf & L. A. Grzelak & G. Deelstra, 2022. "Cheapest-to-deliver collateral: a common factor approach," Quantitative Finance, Taylor & Francis Journals, vol. 22(4), pages 707-723, April.
  33. Ben-Zhang Yang & Xiaoping Lu & Guiyuan Ma & Song-Ping Zhu, 2019. "Robust portfolio optimization with multi-factor stochastic volatility," Papers 1910.06872, arXiv.org, revised Jun 2020.
  34. Grzelak, Lech & Oosterlee, Kees, 2010. "An Equity-Interest Rate Hybrid Model With Stochastic Volatility and the Interest Rate Smile," MPRA Paper 20574, University Library of Munich, Germany.
  35. Marcos Escobar & Christoph Gschnaidtner, 2018. "A multivariate stochastic volatility model with applications in the foreign exchange market," Review of Derivatives Research, Springer, vol. 21(1), pages 1-43, April.
  36. Cheng, Benjamin & Nikitopoulos, Christina Sklibosios & Schlögl, Erik, 2018. "Pricing of long-dated commodity derivatives: Do stochastic interest rates matter?," Journal of Banking & Finance, Elsevier, vol. 95(C), pages 148-166.
  37. Ah-Reum Han & Jeong-Hoon Kim & See-Woo Kim, 2021. "Variance Swaps with Deterministic and Stochastic Correlations," Computational Economics, Springer;Society for Computational Economics, vol. 57(4), pages 1059-1092, April.
  38. Teh Raihana Nazirah Roslan & Wenjun Zhang & Jiling Cao, 2016. "Pricing variance swaps with stochastic volatility and stochastic interest rate under full correlation structure," Papers 1610.09714, arXiv.org, revised Apr 2020.
  39. Maya Briani & Lucia Caramellino & Giulia Terenzi & Antonino Zanette, 2019. "Numerical Stability Of A Hybrid Method For Pricing Options," International Journal of Theoretical and Applied Finance (IJTAF), World Scientific Publishing Co. Pte. Ltd., vol. 22(07), pages 1-46, November.
  40. Karel in 't Hout & Jari Toivanen, 2015. "Application of Operator Splitting Methods in Finance," Papers 1504.01022, arXiv.org.
  41. Fabio Antonelli & Alessandro Ramponi & Sergio Scarlatti, 2020. "A moment matching method for option pricing under stochastic interest rates," Papers 2005.14063, arXiv.org.
  42. Tinne Haentjens & Karel J. in 't Hout, 2011. "ADI finite difference schemes for the Heston-Hull-White PDE," Papers 1111.4087, arXiv.org.
  43. Q. Feng & C. W. Oosterlee, 2014. "Monte Carlo Calculation of Exposure Profiles and Greeks for Bermudan and Barrier Options under the Heston Hull-White Model," Papers 1412.3623, arXiv.org.
  44. Benjamin Cheng & Christina Nikitopoulos-Sklibosios & Erik Schlogl, 2015. "Pricing of Long-dated Commodity Derivatives with Stochastic Volatility and Stochastic Interest Rates," Research Paper Series 366, Quantitative Finance Research Centre, University of Technology, Sydney.
  45. P. Karlsson & K. F. Pilz & E. Schlögl, 2017. "Calibrating a market model with stochastic volatility to commodity and interest rate risk," Quantitative Finance, Taylor & Francis Journals, vol. 17(6), pages 907-925, June.
  46. Singor, Stefan N. & Grzelak, Lech A. & van Bragt, David D.B. & Oosterlee, Cornelis W., 2013. "Pricing inflation products with stochastic volatility and stochastic interest rates," Insurance: Mathematics and Economics, Elsevier, vol. 52(2), pages 286-299.
  47. Ben-Zhang Yang & Jia Yue & Nan-Jing Huang, 2019. "Equilibrium Price Of Variance Swaps Under Stochastic Volatility With Lévy Jumps And Stochastic Interest Rate," International Journal of Theoretical and Applied Finance (IJTAF), World Scientific Publishing Co. Pte. Ltd., vol. 22(04), pages 1-33, June.
  48. Gero Junike & Konstantin Pankrashkin, 2021. "Precise option pricing by the COS method--How to choose the truncation range," Papers 2109.01030, arXiv.org, revised Jan 2022.
  49. Alessandro Gnoatto & Martino Grasselli, 2013. "An analytic multi-currency model with stochastic volatility and stochastic interest rates," Papers 1302.7246, arXiv.org, revised Mar 2013.
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