Login / Signup

Convergence of an Euler Scheme for a Hybrid Stochastic-Local Volatility Model with Stochastic Rates in Foreign Exchange Markets.

Andrei CozmaMatthieu MariapragassamChristoph Reisinger
Published in: SIAM J. Financial Math. (2018)
Keyphrases
  • foreign exchange
  • stochastic model
  • mathematical model
  • objective function
  • computational model
  • stochastic programming
  • neural network
  • probability distribution
  • knn
  • stochastic process
  • financial time series