We develop a stochastic volatility framework for modeling multiple currencies based on CBI-time-changed L\'evy processes. The proposed framework captures the typical risk characteristics of FX markets and is coherent with the symmetries of FX rates. Moreover, due to the self-exciting behavior of...

In this paper, we consider a generic interest rate market in the presence of roll-over risk, which generates spreads in spot/forward term rates. We do not require classical absence of arbitrage and rely instead on a minimal market viability assumption, which enables us to work in the context of...

We introduce and study the class of {\em CBI-time-changed Lévy processes} (CBITCL), obtained by time-changing a Lévy process with respect to an integrated continuous-state branching process with immigration (CBI). We characterize CBITCL processes as solutions to a certain stochastic integral...