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Multivariate FX models with jumps: Triangles, Quantos and implied correlation
16 references·0 citing·37 second hop
Multivariate FX models with jumps: Triangles, Quantos and implied correlation (2017)Multivariate FX models with jumps: Triang…Modeling Dependence in High Dimensions With Factor Copulas (2015)Modeling Dependence in High D…Pricing early-exercise and discrete barrier options by fourier-cosine series expansions (2009)Pricing early-exercise and di…Credit value adjustment for credit default swaps via the structural default model (2009)Credit value adjustment for c…A Fast and Accurate FFT-Based Method for Pricing Early-Exercise Options under Lévy Processes (2008)A Fast and Accurate FFT-Based…Stochastic skew in currency options☆ (2007)Stochastic skew in currency o…Option pricing when correlations are stochastic: an analytical framework (2007)Option pricing when correlati…Risk Management: Value at Risk and Beyond (2003)Risk Management: Value at Ris…Financial Modelling with Jump Processes (2003)Financial Modelling with Jump…The Fine Structure of Asset Returns: An Empirical Investigation (2002)The Fine Structure of Asset R…Correlation and Dependence in Risk Management: Properties and Pitfalls (2002)Correlation and Dependence in…Option valuation using the fast Fourier transform (1999)Option valuation using the fa…The Variance Gamma Process and Option Pricing (1998)The Variance Gamma Process an…New Insights into Smile, Mispricing, and Value at Risk: The Hyperbolic Model (1998)New Insights into Smile, Misp…Option pricing by Esscher transforms. (1995)Option pricing by Esscher tra…Changes of numéraire, changes of probability measure and option pricing (1995)Changes of numéraire, changes…Option pricing when underlying stock returns are discontinuous (1976)Option pricing when underlyin…The Pricing of Options and Corporate Liabilities (1973)A Closed-Form Solution for Options with Stochastic Volatility with Applications to Bond and Currency Options (1993)Jumps and Stochastic Volatility: Exchange Rate Processes Implicit in Deutsche Mark Options (1996)Non-Gaussian Ornstein–Uhlenbeck-based Models and Some of Their Uses in Financial Economics (2001)Stochastic Volatility for Lévy Processes (2003)An Introduction to Copulas (1999)Coherent Measures of Risk (1999)The distribution of realized stock return volatility (2001)Quantitative Risk Management: Concepts, Techniques, and Tools (2005)Pair-copula constructions of multiple dependence (2007)The Econometrics of Financial Markets (2012)Generalized autoregressive conditional heteroskedasticity (1986)The Generalized Hyperbolic Model: Estimation, Financial Derivatives, and Risk Measures (1999)Disentangling diffusion from jumps (2004)Copulas for Finance - A Reading Guide and Some Applications (2007)Continuous Martingales and Brownian Motion (1999)A Jump-Diffusion Model for Option Pricing (2002)Power and Bipower Variation with Stochastic Volatility and Jumps (2004)Theory of Rational Option Pricing (1973)Time-changed Lévy processes and option pricing (2003)Theory of rational option pricing (2005)CAPITAL ASSET PRICES: A THEORY OF MARKET EQUILIBRIUM UNDER CONDITIONS OF RISK* (1964)EFFICIENT CAPITAL MARKETS: A REVIEW OF THEORY AND EMPIRICAL WORK* (1970)The Value of Waiting to Invest (1982)The Pricing of Options on Assets with Stochastic Volatilities (1987)A Theory of the Term Structure of Interest Rates (1985)Closed Form Solutions for Term Structure Derivatives with Log‐Normal Interest Rates (1997)LIBOR and swap market models and measures (1997)Option pricing: A simplified approach (1979)On the Time Value of Ruin (1998)Actuarial Theory for Dependent Risks: Measures, Orders and Models (2005)The Relative Contribution of Jumps to Total Price Variance (2005)A Novel Pricing Method for European Options Based on Fourier-Cosine Series Expansions (2008)What's Vol Got to Do with It (2010)Unspanned Stochastic Volatility and the Pricing of Commodity Derivatives (2009)Capturing Option Anomalies with a Variance-Dependent Pricing Kernel (2013)Crash-neutral currency carry trades (2014)
this work references cited by second hop

References

  • 1976Option pricing when underlying stock returns are discontinuous5,965 cited
  • 2003Financial Modelling with Jump Processes3,217 cited
  • 1999Option valuation using the fast Fourier transform2,155 cited
  • 2002Correlation and Dependence in Risk Management: Properties and Pitfalls1,992 cited
  • 1998The Variance Gamma Process and Option Pricing1,786 cited
  • 2002The Fine Structure of Asset Returns: An Empirical Investigation1,725 cited
  • 1995Changes of numéraire, changes of probability measure and option pricing808 cited
  • 1995Option pricing by Esscher transforms.651 cited
  • 1998New Insights into Smile, Mispricing, and Value at Risk: The Hyperbolic Model449 cited
  • 2007Stochastic skew in currency options☆341 cited
  • 2003Risk Management: Value at Risk and Beyond340 cited
  • 2009Pricing early-exercise and discrete barrier options by fourier-cosine series expansions279 cited
  • 2008A Fast and Accurate FFT-Based Method for Pricing Early-Exercise Options under Lévy Processes249 cited
  • 2015Modeling Dependence in High Dimensions With Factor Copulas245 cited
  • 2007Option pricing when correlations are stochastic: an analytical framework206 cited

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  • 2009Credit value adjustment for credit default swaps via the structural default model151 cited
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