Matthieu Mariapragassam

1. Convergence of an Euler scheme for a hybrid stochastic-local volatility model with stochastic rates in foreign exchange markets
   2015/01/24 by Andrei Cozma, Cozma, Andrei, Matthieu Mariapragassam +3 · 4 citations
   Economics, Econometrics and Finance · Social Sciences · #60H35 (Primary) #65C05 #65C30 #65N21 (Secondary) #Computational Finance (q-fin.CP) #FOS: Economics and business #Financial Risk and Volatility Modeling #Insurance, Mortality, Demography, Risk Management #Monetary Policy and Economic Impact #Stochastic processes and financial applications #msc:60H35 #msc:65C05 #msc:65C30 #msc:65N21 #q-fin.CP
2. Calibration of a Hybrid Local-Stochastic Volatility Stochastic Rates\n Model with a Control Variate Particle Method
   2017/01/21 by Andrei Cozma, Matthieu Mariapragassam, Cozma, Andrei +3 · 1 citation
   Economics, Econometrics and Finance · #FOS: Economics and business #Financial Risk and Volatility Modeling #Mathematical Finance (q-fin.MF) #Monetary Policy and Economic Impact #Stochastic processes and financial applications