Browsing by Author "Patel, Riaz"

 

Browsing by Author "Patel, Riaz"

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  • Approximating the Heston-Hull-White Model
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    Author: Patel, Riaz Date: 2019 The hybrid Heston-Hull-White (HHW) model combines the Heston (1993) stochastic volatility and Hull and White (1990) short rate models. Compared to stochastic volatility models, hybrid models improve upon the pricing and hedging of longdated ... Read more