volatility model, for which we detail an efficient estimation strategy based on Gaussian mixture sampling and a linearization of …We study the link between the volatility of exchange rates and interest rate differentials (IRD), motivated by the … the volatility process. We apply this approach to six currency pairs over the period from January 1999 to December 2017 …

We construct multi-currency models with stochastic volatility and correlated stochastic interest rates with a full … interest rate by a stochastic volatility displaced-diffusion Libor Market Model [AA02], which can model an interest rate smile …