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COMFORT: a common market factor non-Gaussian returns model

Paolella, Marc S.; Polak, Pawel - In: Journal of econometrics 187 (2015) 2, pp. 593-605

Persistent link: https://www.econbiz.de/10011499783

A multivariate stochastic volatility model with applications in the foreign exchange market

Escobar, Marcos; Gschnaidtner, Christoph - In: Review of derivatives research 21 (2018) 1, pp. 1-43

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Risk-neutral densities : advanced methods of estimating nonnormal options underlying asset prices and returns

Santos, André; Guerra, João - In: The journal of risk model validation 14 (2020) 2, pp. 41-64

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Multivariate FX Models with Jumps : Triangles, Quantos and Implied Correlation

Ballotta, Laura - 2017

We propose an integrated model of the joint dynamics of FX rates and asset prices for the pricing of FX derivatives, including Quanto products; the model is based on a multivariate construction for Levy processes which proves to be analytically tractable. The approach allows for simultaneous...

Persistent link: https://www.econbiz.de/10012963076