In this paper we apply the multivariate construction for Lévy processes introduced by Ballotta and Bonfiglioli (2014) to propose an integrated model for the joint dynamics of FX exchange rates and asset prices. We show that the proposed construction is consistent in terms of symmetries with...

We propose an integrated model of the joint dynamics of FX rates and asset prices for the pricing of FX derivatives, including Quanto products; the model is based on a multivariate construction for Levy processes which proves to be analytically tractable. The approach allows for simultaneous...

The aim of this paper is to investigate the dependence between exchange rates and their volatility from the information synthesised into currency options quotes. To this purpose, we propose an affine stochastic volatility model with self-exciting structure under a timechanged pure jump Lévy...