英文标题：
《LSV models with stochastic interest rates and correlated jumps》
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作者：
Andrey Itkin
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最新提交年份：
2016
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英文摘要：
Pricing and hedging exotic options using local stochastic volatility models drew a serious attention within the last decade, and nowadays became almost a standard approach to this problem. In this paper we show how this framework could be extended by adding to the model stochastic interest rates and correlated jumps in all three components. We also propose a new fully implicit modification of the popular Hundsdorfer and Verwer and Modified Craig-Sneyd finite-difference schemes which provides second order approximation in space and time, is unconditionally stable and preserves positivity of the solution, while still has a linear complexity in the number of grid nodes.
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中文摘要：
在过去十年中，利用局部随机波动率模型对奇异期权进行定价和套期保值引起了人们的高度重视，如今几乎成为解决这一问题的标准方法。在本文中，我们展示了如何通过在模型中加入随机利率和所有三个组成部分的相关跳跃来扩展这个框架。我们还对流行的Hundsdorfer和Verwer有限差分格式以及改进的Craig-Sneyd有限差分格式提出了一种新的全隐式修改，该格式在空间和时间上提供了二阶近似，无条件稳定并保持了解的正性，同时在网格节点数上仍然具有线性复杂性。
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分类信息：

一级分类：Quantitative Finance 数量金融学
二级分类：Computational Finance 计算金融学
分类描述：Computational methods, including Monte Carlo, PDE, lattice and other numerical methods with applications to financial modeling
计算方法，包括蒙特卡罗，偏微分方程，格子和其他数值方法，并应用于金融建模
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一级分类：Quantitative Finance 数量金融学
二级分类：Pricing of Securities 证券定价
分类描述：Valuation and hedging of financial securities, their derivatives, and structured products
金融证券及其衍生产品和结构化产品的估值和套期保值
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