It is a widely recognized fact that risk-reversals play a central role in the pricing of derivatives in foreign exchange markets. It is also known that the values of risk-reversals vary stochastically with time. In this paper we introduce a stochastic volatility model with jumps and local...

We study triangulation schemes for the joint kernel of a diffusion process with uniformly continuous coefficients and an adapted, non-resonant Abelian process. The prototypical example of Abelian process to which our methods apply is given by stochastic integrals with uniformly continuous...