Now showing items 1-1 of 1

    • Interest rate models with non-gaussian driven stochastic volatility 

      Bi, Jiangchun (Heriot-Watt University Mathematics and Computer Science, 2009-10)
      In this thesis, we consider some two-factor short rate models that incorporate stochastic volatility with jumps. The motivation for studying such kinds of model is to overcome the shortcomings of di usion-based stochastic ...