wayone
Member
Posts: 74
Joined: Mar 2003

Thu Jul 06, 06 02:48 PM


If anyone is interested, here is an updated link to the working paper "From moving average local and stochastic volatility models to 2factor stochstic volatility models" of Oleg Kovrizhkin. (click on "document delivery" and then click "download the document from") The following models are considered
We will generalize these and other ideas further and show that they lead to a 2factor pure stochastic volatility model:
Examples of analytically solvable models, applicable for multicurrency models consistent with cross currencies dynamics are given. Also jumps and stochastic interest rates are considered.
Edited: Fri Aug 25, 06 at 11:18 PM by wayone

