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Smiles all around: FX joint calibration in a multi-Heston model

Citations

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Cited by:

  1. Alessandro Gnoatto, 2017. "Coherent Foreign Exchange Market Models," International Journal of Theoretical and Applied Finance (IJTAF), World Scientific Publishing Co. Pte. Ltd., vol. 20(01), pages 1-29, February.
  2. Ballotta, Laura & Deelstra, Griselda & Rayée, Grégory, 2017. "Multivariate FX models with jumps: Triangles, Quantos and implied correlation," European Journal of Operational Research, Elsevier, vol. 260(3), pages 1181-1199.
  3. Yuyang Cheng & Marcos Escobar-Anel & Zhenxian Gong, 2019. "Generalized Mean-Reverting 4/2 Factor Model," JRFM, MDPI, vol. 12(4), pages 1-21, October.
  4. Alessandro Gnoatto & Martino Grasselli & Eckhard Platen, 2022. "Calibration to FX triangles of the 4/2 model under the benchmark approach," Decisions in Economics and Finance, Springer;Associazione per la Matematica, vol. 45(1), pages 1-34, June.
  5. Nicole Branger & Matthias Muck & Stefan Weisheit, 2019. "Correlation risk and international portfolio choice," Journal of Futures Markets, John Wiley & Sons, Ltd., vol. 39(1), pages 128-146, January.
  6. Claudio Fontana & Alessandro Gnoatto & Guillaume Szulda, 2021. "CBI-time-changed L\'evy processes for multi-currency modeling," Papers 2112.02440, arXiv.org, revised Jul 2022.
  7. Alessandro Gnoatto & Martino Grasselli & Eckhard Platen, 2016. "A Penny Saved is a Penny Earned: Less Expensive Zero Coupon Bonds," Papers 1608.04683, arXiv.org, revised Mar 2018.
  8. Fazlollah Soleymani & Andrey Itkin, 2019. "Pricing foreign exchange options under stochastic volatility and interest rates using an RBF--FD method," Papers 1903.00937, arXiv.org.
  9. Ryan McCrickerd, 2019. "On spatially irregular ordinary differential equations and a pathwise volatility modelling framework," Papers 1902.01673, arXiv.org, revised Sep 2021.
  10. Escobar-Anel, Marcos & Rastegari, Javad & Stentoft, Lars, 2020. "Affine multivariate GARCH models," Journal of Banking & Finance, Elsevier, vol. 118(C).
  11. Masaaki Fujii, 2014. "A Polynomial Scheme of Asymptotic Expansion for Backward SDEs and Option pricing," CARF F-Series CARF-F-343, Center for Advanced Research in Finance, Faculty of Economics, The University of Tokyo, revised Dec 2014.
  12. Ruggero Caldana & Gianluca Fusai & Alessandro Gnoatto & Martino Grasselli, 2016. "General closed-form basket option pricing bounds," Quantitative Finance, Taylor & Francis Journals, vol. 16(4), pages 535-554, April.
  13. Masaaki Fujii, 2014. "A Polynomial Scheme of Asymptotic Expansion for Backward SDEs and Option pricing," CIRJE F-Series CIRJE-F-931, CIRJE, Faculty of Economics, University of Tokyo.
  14. Simonella, Roberta & Vázquez, Carlos, 2023. "XVA in a multi-currency setting with stochastic foreign exchange rates," Mathematics and Computers in Simulation (MATCOM), Elsevier, vol. 207(C), pages 59-79.
  15. Marcos Escobar & Christoph Gschnaidtner, 2018. "A multivariate stochastic volatility model with applications in the foreign exchange market," Review of Derivatives Research, Springer, vol. 21(1), pages 1-43, April.
  16. Masaaki Fujii, 2014. "A Polynomial Scheme of Asymptotic Expansion for Backward SDEs and Option pricing," Papers 1405.0378, arXiv.org, revised Dec 2014.
  17. Martino Grasselli, 2017. "The 4/2 Stochastic Volatility Model: A Unified Approach For The Heston And The 3/2 Model," Mathematical Finance, Wiley Blackwell, vol. 27(4), pages 1013-1034, October.
  18. 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.
  19. Wang, Hang & Hu, Zhijun, 2020. "Optimal consumption and portfolio decision with stochastic covariance in incomplete markets," Chaos, Solitons & Fractals, Elsevier, vol. 138(C).
  20. Marcos Escobar-Anel & Harold A. Moreno-Franco, 2019. "Dynamic portfolio strategies under a fully correlated jump-diffusion process," Annals of Finance, Springer, vol. 15(3), pages 421-453, September.
  21. Laura Ballota & Griselda Deelstra & Grégory Rayée, 2015. "Quanto Implied Correlation in a Multi-Lévy Framework," Working Papers ECARES ECARES 2015-36, ULB -- Universite Libre de Bruxelles.
  22. Baldeaux, Jan & Grasselli, Martino & Platen, Eckhard, 2015. "Pricing currency derivatives under the benchmark approach," Journal of Banking & Finance, Elsevier, vol. 53(C), pages 34-48.
  23. Matthias Muck, 2022. "Arbitrage-free smile construction on FX option markets using Garman-Kohlhagen deltas and implied volatilities," Review of Derivatives Research, Springer, vol. 25(3), pages 293-314, October.
  24. Branger, Nicole & Herold, Michael & Muck, Matthias, 2021. "International stochastic discount factors and covariance risk," Journal of Banking & Finance, Elsevier, vol. 123(C).
  25. Masaaki Fujii, 2016. "A polynomial scheme of asymptotic expansion for backward SDEs and option pricing," Quantitative Finance, Taylor & Francis Journals, vol. 16(3), pages 427-445, March.
  26. Akihiko Takahashi, 2015. "Asymptotic Expansion Approach in Finance," CARF F-Series CARF-F-356, Center for Advanced Research in Finance, Faculty of Economics, The University of Tokyo, revised Aug 2015.
  27. Alessandro Gnoatto & Martino Grasselli, 2013. "An analytic multi-currency model with stochastic volatility and stochastic interest rates," Papers 1302.7246, arXiv.org, revised Mar 2013.
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