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CBI-time-changed Lévy processes for multi-currency modeling

Claudio Fontana, Alessandro Gnoatto, Guillaume Szulda
Year of publication:
[2021]
Authors: Fontana, Claudio ; Gnoatto, Alessandro ; Szulda, Guillaume
Publisher: [Verona] : Università die Verona, Department of Economics
Subject: FX market | multi-currency market | branching process | self-exciting process | time-change | stochastic volatility | deep calibration | affine process | Stochastischer Prozess | Stochastic process | Volatilität | Volatility | Optionspreistheorie | Option pricing theory | Zinsstruktur | Yield curve | Markov-Kette | Markov chain
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