the pricing of European-style foreign currency options and for the volatility strike structure implicit in these contracts … is devoloped. The curvature of the volatility strike structure is explained by focusing attention on the expected … characteristic convex shape of volatility strike structures documented in the empirical literature. A volatility-based test for …

period to alter either the level or the volatility of the $/DM spot rate is examined. Volatility quotes implicit in foreign …

In this paper we explore the dynamics of Implied Volatility Surfaces (IVS) both in a single-currency framework, and in …

We propose a Monte-Carlo calibration method for multi-currency Hybrid Local Volatility models a la Dupire. The …

known announcements can produce significant distortions in option volatility surfaces. This presents a challenge, or …, frowns and W-shapes. Furthermore, we demonstrate the model's calibration to the observed volatility surface leading up to the … volatility interpolation. Finally, we discuss how the jump probabilities are becoming increasingly observable via alternative …

This paper introduces the Inverse Gamma (IGa) stochastic volatility model with time-dependent parameters, defined by … the volatility dynamics dVt = κt.(θt − Vt).dt λt.Vt.dBt. This non-affine model is much more realistic than classical … affine models like the Heston stochastic volatility model, even though both are as parsimonious (only four stochastic …

Spot foreign exchange (FX) rates usually exhibit volatility clustering and regime switching in a finite number of …