Multivariate FX models with jumps: Triangles, Quantos and implied correlation-Reference-Cited by-同舟云学术

Multivariate FX models with jumps: Triangles, Quantos and implied correlation

Published:2017-08 Issue:3 Volume:260 Page:1181-1199
ISSN:0377-2217
Container-title:European Journal of Operational Research
language:en
Short-container-title:European Journal of Operational Research

Author:

Ballotta Laura^ORCID,Deelstra Griselda,Rayée Grégory

Publisher

Elsevier BV

Subject

Information Systems and Management,Management Science and Operations Research,Modeling and Simulation,General Computer Science,Industrial and Manufacturing Engineering

Reference39 articles.

1. Foreign currency returns and systematic risks;Atanasov;Journal of Financial and Quantitative Analysis,2015

2. Multivariate asset models using Lévy processes and applications;Ballotta;The European Journal of Finance,2016

3. Counterparty credit risk in a multivariate structural model with jumps;Ballotta;Finance, Revue de l’Association Française de Finance,2015

4. Normal inverse Gaussian distributions and the modeling of stock returns;Barndorff-Nielsen,1995

5. Change of time and change of measure;Barndorff-Nielsen,2010

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