The affine Heston model with correlated Gaussian interest rates for pricing hybrid derivatives
定义了一个股票与利率相关的多因子混合模型，股票部分用Heston模型，利率用高斯多因子短期利率过程，属于仿射扩散过程，可快速校准到普通期权，并提供高效蒙特卡洛模拟方案。
In this article we define a multi-factor equity–interest rate hybrid model with non-zero correlation between the stock and interest rate. The equity part is modeled by the Heston model and we use a Gaussian multi-factor short-rate process. By construction, the model fits in the framework of affine diffusion processes, allowing fast calibration to plain vanilla options. We also provide an efficient Monte Carlo simulation scheme.