Hybrid Lévy Models: Design and Computational Aspects

A hybrid model is a model, where two markets are studied jointly such that stochastic dependence can be taken into account. Such a dependence is well known for equity and interest rate markets on which we focus here. Other pairs can be considered in a similar way. Two different versions of a hybrid...

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Veröffentlicht in:	Applied mathematical finance. 2018-11, Vol.25 (5-6), p.533-556
Hauptverfasser:	Eberlein, Ernst, Rudmann, Marcus
Format:	Artikel
Sprache:	eng
Schlagworte:	Dependence Dynamics Equity equity derivatives hybrid derivatives Hybrid models interest rate derivatives Interest rates Markets Mathematical models time-inhomogeneous Lévy processes
Online-Zugang:	Volltext
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