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On Cross-Currency Models with Stochastic Volatility and Correlated Interest Rates
16 references·5 citing·34 second hop
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References

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  • 1985A Theory of the Term Structure of Interest Rates8,333 cited
  • 1992Bond Pricing and the Term Structure of Interest Rates: A New Methodology for Contingent Claims Valuation3,170 cited
  • 2000Transform Analysis and Asset Pricing for Affine Jump-diffusions2,789 cited
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  • 2004Stochastic Calculus for Finance II: Continuous-Time Models1,104 cited
  • 1997Martingale Methods in Financial Modelling1,085 cited
  • 1995Changes of numéraire, changes of probability measure and option pricing808 cited
  • 2004Stochastic Calculus for Finance II748 cited
  • 2006Interest rate models : theory and practice : with smile, inflation and credit737 cited
  • 2008A Novel Pricing Method for European Options Based on Fourier-Cosine Series Expansions718 cited
  • 2000Volatility skews and extensions of the Libor market model277 cited
  • 2008Simple and efficient simulation of the Heston stochastic volatility model266 cited
  • 2011On the Heston Model with Stochastic Interest Rates

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248 cited
  • 1996Using Hull-White Interest Rate Trees168 cited
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    • 2013Pricing of foreign exchange options under the Heston stochastic volatility model and CIR interest rates47 cited
    • 2012Local Volatility Pricing Models for Long-Dated FX Derivatives31 cited
    • 2024Analytically pricing foreign exchange options under a three-factor stochastic volatility and interest rate model: A full correlation structure30 cited
    • 2014An Affine Multicurrency Model with Stochastic Volatility and Stochastic Interest Rates28 cited
    • 2014The Valuation of Catastrophe Bonds with Exposure to Currency Exchange Risk26 cited