Sv

S. van Weeren

6 records found

Authored

Extension of stochastic volatility equity models with the Hull¿White interest rate process
Journal article (2012) - L.A. Grzelak, C.W. Oosterlee, S. van Weeren

The affine Heston model with correlated Gaussian interest rates for pricing hybrid derivatives
Journal article (2011) - L.A. Grzelak, C.W. Oosterlee, S. van Weeren

Analytic approximation to constant maturity swap convexity correction in a multi-factor SABR model
Journal article (2010) - B. Chen, C.W. Oosterlee, S. van Weeren

Efficient option pricing with multi-factor equity-interest rate hybrid models

Extension of stochastic volatility models with hull-white interest rate process

Incorporating an interest rate smile in a equity local volatility model