Dynamics of foreign exchange implied volatility and implied correlation surfaces

DOI10.1080/14697688.2019.1575517zbMath1420.91447OpenAlexW2915540941WikidataQ128332754 ScholiaQ128332754MaRDI QIDQ5234358

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Publication date: 26 September 2019

Published in: Quantitative Finance (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1080/14697688.2019.1575517

zbMATH Keywords

dynamicsforeign exchange ratesKarhunen-Loève decompositionimplied volatilityinterdependencyimplied correlation

Mathematics Subject Classification ID

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

Related Items (1)

Implied betas for the Frankel-Wei regression framework

Cites Work

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• The dynamics of the S\&P 500 implied volatility surface
• The dynamics of implied volatilities: a common principal components approach
• A framework for robust measurement of implied correlation
• A Flexible and Fast Method for Automatic Smoothing
• Locally Adaptive Bandwidth Choice for Kernel Regression Estimators
• Dynamics of implied volatility surfaces

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