Hybrid Lévy models: Design and computational aspects


Two different versions of a hybrid interest rate-equity model are developed. Independent time-inhomogeneous Lévy processes are used as drivers of the dynamics. Dependence between the markets is generated by introducing the... [ view full abstract ]


  1. Ernst Eberlein (University of Freiburg)
  2. Marcus Rudmann (University of Freiburg)

Topic Areas

Calibration , Computational Finance , Interest Rates


TU-P-EM » Interest Rate, Yield Curves, and Derivatives (14:30 - Tuesday, 17th July, Emmet)

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