We construct multi-currency models with stochastic volatility and correlated stochastic interest rates with a full matrix of correlations. We frst deal with a foreign exchange (FX) model of Heston-type, in which the domestic and foreign interest rates are generated by the short-rate process of...

In this paper, we present three new discretization schemes for the Heston stochastic volatility model - two schemes for simulating the variance process and one scheme for simulating the integrated variance process conditional on the initial and the end-point of the variance process. Instead of...