Multivariate FX models with jumps: triangles, quantos and implied correlation

DOI10.1016/J.EJOR.2017.02.018MaRDI QIDQ1753549zbMATH OpenOpenAlexFDO

Authors Laura Ballotta, Griselda Deelstra, Grégory Rayée

Publication date 29 May 2018

Published in European Journal of Operational Research (Search for Journal in Brave)

Full work available at URL https://openaccess.city.ac.uk/id/eprint/16661/1/Quanto_final_EJOR.pdf

zbMATH Keywords

option pricingcalibration procedureimplied correlationQuanto products,multivariate Lévy processes

Mathematics Subject Classification ID

Processes with independent increments; Lévy processes (60G51) Derivative securities (option pricing, hedging, etc.) (91G20)

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Cites work

• scientific article; zbMATH DE number 1402217 (Why is no real title available?)
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Cited in

(14)

• A multivariate Lévy process model with linear correlation
• Integrated structural approach to credit value adjustment
• Valuation of hybrid financial and actuarial products in life insurance by a novel three-step method
• Randomization and the valuation of guaranteed minimum death benefits
• Conditional correlated jump dynamics in foreign exchange
• Optimal portfolios when variances and covariances can jump
• The multivariate mixture dynamics model: shifted dynamics and correlation skew
• Forward-looking portfolio selection with multivariate non-Gaussian models
• Calibration to FX triangles of the 4/2 model under the benchmark approach
• Extending the Merton model with applications to credit value adjustment
• Coupling smiles
• Smiles \& smirks: volatility and leverage by jumps
• VIX derivatives, hedging and vol-of-vol risk
• CBI-time-changed Lévy processes for multi-currency modeling

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