The Stochastic Intrinsic Currency Volatility Model: A Consistent Framework for Multiple FX Rates and Their Volatilities
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- repec:wsi:ijtafx:v:20:y:2017:i:01:n:s0219024917500078 is not listed on IDEAS
- Alvise De Col & Alessandro Gnoatto & Martino Grasselli, 2012. "Smiles all around: FX joint calibration in a multi-Heston model," Papers 1201.1782, arXiv.org, revised Jun 2013.
- Kenichiro Shiraya & Akihiko Takahashi, 2012. "Pricing Multi-Asset Cross Currency Options," CARF F-Series CARF-F-290, Center for Advanced Research in Finance, Faculty of Economics, The University of Tokyo.
- Cornelis S. L. de Graaf & Drona Kandhai & Christoph Reisinger, 2016. "Efficient exposure computation by risk factor decomposition," Papers 1608.01197, arXiv.org, revised Feb 2018.
- De Col, Alvise & Gnoatto, Alessandro & Grasselli, Martino, 2013. "Smiles all around: FX joint calibration in a multi-Heston model," Journal of Banking & Finance, Elsevier, vol. 37(10), pages 3799-3818.
- Kenichiro Shiraya & Akihiko Takahashi, 2012. "Pricing Multi-Asset Cross Currency Optionss," CIRJE F-Series CIRJE-F-844, CIRJE, Faculty of Economics, University of Tokyo.
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