2 research outputs found
The Time-Dependent FX-SABR Model: Efficient Calibration based on Effective Parameters
- Author
- A Antonov
- A Kawai
- A Takahashi
- A Van Haastrecht
- A W Van Der Stoep
- Anthonie Willem van der Stoep
- B Chen
- B Chen
- B Dupire
- B Engelmann
- B Zhang
- Cornelis W. Oosterlee
- E Derman
- E Derman
- F Fang
- G Baker
- G Deelstra
- G Tataru
- H Geman
- H Tanaka
- I Gy�ngy
- I Karatzas
- J
- J Cox
- J Fern�ndez
- J Hull
- J Obl�j
- J Sippel
- K Larsson
- L A Grzelak
- L Paulot
- Lech A. Grzelak
- M Curran
- M Musiela
- O Islah
- P Glasserman
- P S Hagan
- Q Wu
- R Frey
- R Lord
- R Rebonato
- R Rebonato
- S E Shreve
- S Johnson
- T Weithers
- V Piterbarg
- V Piterbarg
- Y Osajima
- Y Ren
- Publication venue
- 'Elsevier BV'
- Publication date
- 01/01/2014
- Field of study
A Novel Monte Carlo Approach to Hybrid Local Volatility Models
- Author
- A Lipton
- A Lipton
- A Lipton
- A Pascucci
- A Pelsser
- A W Van Der Stoep
- Anthonie Willem van der Stoep
- B Dupire
- B Dupire
- B Ganapathysubramanian
- Cornelis W. Oosterlee
- D A Bloch
- D Xiu
- D Xiu
- E Benhamou
- E Benhamou
- E Derman
- E Derman
- F A Longstaff
- F Black
- F Nobile
- G Baker
- G Deelstra
- G Tataru
- I Babu?ka
- I J Clark
- J A S Witteveen
- J Gatheral
- J Guyon
- J Hull
- J M Steele
- J P Fouque
- K V Mardia
- L A Grzelak
- L A Grzelak
- L A Grzelak
- L A Grzelak
- L Andersen
- Lech A. Grzelak
- M Abramowitz
- M Atlan
- M Jex
- M Lorig
- P Henry-Labord�re
- P S Hagan
- R Rebonato
- R Rebonato
- R Sch�bel
- S Jain
- S Johnson
- S L Heston
- S Sankaran
- S Watanabe
- V Piterbarg
- V Piterbarg
- Y An
- Y Ren
- Y Tian
- Publication venue
- 'Elsevier BV'
- Publication date
- 01/01/2016
- Field of study