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Over-the-counter foreign exchange options (OTC-FXOs) are the fourth largest derivatives market in the world. However, the extant literature on their pricing is noticeably thin. We propose a new discrete time exponential-affine multi-factor model, with multiple estimation strategies and pricing...
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This paper studies the importance of accounting for term structure maturity clusters while estimating latent factors, for the purpose of forecasting yield curves. The maturity clusters are identified using a hierarchical clustering algorithm. We then propose a new block dynamic Nelson-Siegel...
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