Easiest to implement is a Monte-Carlo, one-factor per interest-rate/FX/credit with some affine model that can be used in HJM dynamics. If you keep it as MC, changing the dynamics and number of factors is usually straightforward - to LMM or stoch vol, for example - without changing the pricing interface.
Simon
On 10/8/07, "Frank Hövermann" <[hidden email]> wrote:
Has somebody already had the opportunity to play around with hybrid models? A first start could be just Hull-White with Black-Scholes but obvious extensions are also of interest. Are there already any experiences of this kind?
Rgds
Frank
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