Calibration of a Hybrid Local-Stochastic Volatility Stochastic Rates Model with a Control Variate Particle Method

Fuente: arXiv

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Bibliographic Details
Main Authors:	Cozma, Andrei, Mariapragassam, Matthieu, Reisinger, Christoph
Format:	Preprint
Published:	2017
Subjects:	Mathematical Finance
Online Access:	Acceder al recurso
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Internet

https://arxiv.org/abs/1701.06001