Nicolas Audet

Numerix - Quantitative Research

41 Eastcheap

2nd Floor

London , EC3M1DT

United Kingdom

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Markovian Projection to a Displaced Volatility Heston Model

Number of pages: 20 Posted: 20 Mar 2008
Alexandre Antonov, Matthieu Arneguy and Nicolas Audet
Danske Bank - Danske Markets, Numerix and Numerix - Quantitative Research
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Citation 13

Abstract:

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Markovian projection, stochastic volatility, Heston model, Gyongy lemma, Heston/Hull-White correlated hybrid, FX-options approximation