Modelling stochastic skew of FX options using SLV models with stochastic spot/vol correlation and correlated jumps (Q5373914): Difference between revisions

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scientific article; zbMATH DE number 6856774

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English	Modelling stochastic skew of FX options using SLV models with stochastic spot/vol correlation and correlated jumps	scientific article; zbMATH DE number 6856774

Statements

instance of

scholarly article

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title

Modelling stochastic skew of FX options using SLV models with stochastic spot/vol correlation and correlated jumps (English)

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author

Andrey Itkin

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published in

Applied Mathematical Finance

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publication date

6 April 2018

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full work available at URL

https://arxiv.org/abs/1701.02821

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zbMATH Keywords

stochastic correlation

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FX options

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stochastic skew

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SLV models

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correlated jumps

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3D PIDE

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finite-difference

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forward equations

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fully implicit splitting scheme

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unconditional stability

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MaRDI profile type

MaRDI publication profile

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cites work

A mean-reverting SDE on correlation matrices

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Jump-diffusion processes: volatility smile fitting and numerical methods for option pricing

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On the numerical solution of diffusion-reaction equations with singular source terms

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Q3457552

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Q4326384

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Lévy matters III. Lévy-type processes: construction, approximation and sample path properties

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Forward equations for option prices in semimartingale models

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Financial Modelling with Jump Processes

0 references

Option pricing when correlations are stochastic: an analytical framework

0 references

Pricing Interest-Rate-Derivative Securities

0 references

ADI finite difference schemes for option pricing in the Heston model with correlation

0 references

Stability of ADI schemes applied to convection--diffusion equations with mixed derivative terms

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New solvable stochastic volatility models for pricing volatility derivatives

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HIGH ORDER SPLITTING METHODS FOR FORWARD PDEs AND PIDEs

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LSV models with stochastic interest rates and correlated jumps

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Pricing Derivatives Under Lévy Models

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Q4913890

0 references

Using pseudo-parabolic and fractional equations for option pricing in jump diffusion models

0 references

Efficient solution of structural default models with correlated jumps and mutual obligations

0 references

Q4895323

0 references

Q2738727

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Solution of Fokker-Planck equation by finite element and finite difference methods for nonlinear systems

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Q2763689

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Dependence calibration and portfolio fit with factor-based subordinators

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Boundary conditions for computing densities in hybrid models via PDE methods

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On the Construction and Comparison of Difference Schemes

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ON THE HESTON MODEL WITH STOCHASTIC CORRELATION

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Identifiers

zbMATH Open document ID

1398.91671

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DOI

10.1080/1350486X.2017.1409641

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Mathematics Subject Classification ID

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Sitelinks

Mathematics(1 entry)

mardi Publication:5373914

@@ Property / cites work @@
+A mean-reverting SDE on correlation matrices
@@ Property / cites work: A mean-reverting SDE on correlation matrices / rank @@
+Normal rank
@@ Property / cites work @@
+Jump-diffusion processes: volatility smile fitting and numerical methods for option pricing
+Normal rank
@@ Property / cites work @@
+On the numerical solution of diffusion-reaction equations with singular source terms
+Normal rank
@@ Property / cites work @@
+Q3457552
@@ Property / cites work: Q3457552 / rank @@
+Normal rank
@@ Property / cites work @@
+Q4326384
@@ Property / cites work: Q4326384 / rank @@
+Normal rank
@@ Property / cites work @@
+Lévy matters III. Lévy-type processes: construction, approximation and sample path properties
+Normal rank
@@ Property / cites work @@
+Forward equations for option prices in semimartingale models
+Normal rank
@@ Property / cites work @@
+Financial Modelling with Jump Processes
@@ Property / cites work: Financial Modelling with Jump Processes / rank @@
+Normal rank
@@ Property / cites work @@
+Option pricing when correlations are stochastic: an analytical framework
+Normal rank
@@ Property / cites work @@
+Pricing Interest-Rate-Derivative Securities
@@ Property / cites work: Pricing Interest-Rate-Derivative Securities / rank @@
+Normal rank
@@ Property / cites work @@
+ADI finite difference schemes for option pricing in the Heston model with correlation
+Normal rank
@@ Property / cites work @@
+Stability of ADI schemes applied to convection--diffusion equations with mixed derivative terms
+Normal rank
@@ Property / cites work @@
+New solvable stochastic volatility models for pricing volatility derivatives
+Normal rank
@@ Property / cites work @@
+HIGH ORDER SPLITTING METHODS FOR FORWARD PDEs AND PIDEs
+Normal rank
@@ Property / cites work @@
+LSV models with stochastic interest rates and correlated jumps
+Normal rank
@@ Property / cites work @@
+Pricing Derivatives Under Lévy Models
@@ Property / cites work: Pricing Derivatives Under Lévy Models / rank @@
+Normal rank
@@ Property / cites work @@
+Q4913890
@@ Property / cites work: Q4913890 / rank @@
+Normal rank
@@ Property / cites work @@
+Using pseudo-parabolic and fractional equations for option pricing in jump diffusion models
+Normal rank
@@ Property / cites work @@
+Efficient solution of structural default models with correlated jumps and mutual obligations
+Normal rank
@@ Property / cites work @@
+Q4895323
@@ Property / cites work: Q4895323 / rank @@
+Normal rank
@@ Property / cites work @@
+Q2738727
@@ Property / cites work: Q2738727 / rank @@
+Normal rank
@@ Property / cites work @@
+Solution of Fokker-Planck equation by finite element and finite difference methods for nonlinear systems
+Normal rank
@@ Property / cites work @@
+Q2763689
@@ Property / cites work: Q2763689 / rank @@
+Normal rank
@@ Property / cites work @@
+Dependence calibration and portfolio fit with factor-based subordinators
+Normal rank
@@ Property / cites work @@
+Boundary conditions for computing densities in hybrid models via PDE methods
+Normal rank
@@ Property / cites work @@
+On the Construction and Comparison of Difference Schemes
+Normal rank
@@ Property / cites work @@
+ON THE HESTON MODEL WITH STOCHASTIC CORRELATION
@@ Property / cites work: ON THE HESTON MODEL WITH STOCHASTIC CORRELATION / rank @@
+Normal rank