Calibration to FX triangles of the 4/2 model under the benchmark approach

DOI10.1007/S10203-021-00330-1zbMATH Open1491.91145OpenAlexW3160373717MaRDI QIDQ2145688FDOQ2145688

Authors: Alessandro Gnoatto, Martino Grasselli, Eckhard Platen 

Publication date: 17 June 2022

Published in: Decisions in Economics and Finance (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1007/s10203-021-00330-1

Recommendations

• Multivariate FX models with jumps: triangles, quantos and implied correlation
• On the calibration of the 3/2 model
• Calibration of a hybrid local-stochastic volatility stochastic rates model with a control variate particle method
• A multivariate stochastic volatility model with applications in the foreign exchange market
• An affine multicurrency model with stochastic volatility and stochastic interest rates

zbMATH Keywords

stochastic volatilityFourier inversionbenchmark approachforex

Mathematics Subject Classification ID

Derivative securities (option pricing, hedging, etc.) (91G20) Portfolio theory (91G10)

Cites Work

• A Closed-Form Solution for Options with Stochastic Volatility with Applications to Bond and Currency Options
• Affine processes and applications in finance
• Title not available (Why is that?)
• Title not available (Why is that?)
• Local martingales, arbitrage, and viability. Free snacks and cheap thrills
• Moment explosions in stochastic volatility models
• An Affine Multicurrency Model with Stochastic Volatility and Stochastic Interest Rates
• The calculation of expectations for classes of diffusion processes by Lie symmetry methods
• Weak tail conditions for local martingales
• Functionals of multidimensional diffusions with applications to finance
• BENCHMARKED RISK MINIMIZATION
• On American VIX options under the generalized 3/2 and 1/2 models
• THE 4/2 STOCHASTIC VOLATILITY MODEL: A UNIFIED APPROACH FOR THE HESTON AND THE 3/2 MODEL
• Change of drift in one-dimensional diffusions
• Calibrating rough volatility models: a convolutional neural network approach
• COHERENT FOREIGN EXCHANGE MARKET MODELS
• Deep learning volatility: a deep neural network perspective on pricing and calibration in (rough) volatility models

Cited In (3)

• A multivariate 4/2 stochastic covariance model: properties and applications to portfolio decisions
• Utility maximization in a stochastic affine interest rate and CIR risk premium framework: a BSDE approach
• CBI-time-changed Lévy processes for multi-currency modeling

This page was built for publication: Calibration to FX triangles of the 4/2 model under the benchmark approach

Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q2145688)