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Document type:
Buchbeitrag 
Author(s):
Bannör, K. F.; Scherer, M.; Schulz, T. 
Non-TUM Co-author(s):
ja 
Cooperation:
national 
Title:
A two-sided Gamma-OU-BNS model for multicurrency FX markets 
Abstract:
We present a multivariate jump diffusion model incorporating stochastic volatility and two-sided jumps for multicurrency FX markets, which is an extension of the univariate Gamma-OU-BNS model introduced by [Barndorff-Nielsen and Shephard, 2001]. The model can be considered a multivariate variant of the two-sided Gamma-OU-BNS model (cf. [Bannör and Scherer, 2013]). We discuss FX option pricing and provide a calibration exercise, modeling two FX rates with a common currency by a bivariate model an...    »
 
Keywords:
Barndorff-Nielsen-Shephard model, stochastic volatility model, jump-diffusion model, multivariate model, FX options, multicurrency FX markets 
Book title:
Innovations in Quantitative Risk Management 
Intellectual Contribution:
Discipline-based Research 
Publisher:
Springer International Publishing 
Year:
2015 
Reviewed:
ja 
Language:
en 
TUM Institution:
Lehrstuhl für Finanzmathematik 
Format:
Text 
CC license:
by, http://creativecommons.org/licenses/by/4.0 
Key publication:
Nein 
Peer reviewed:
ja 
International:
Ja 
Book review:
Nein 
Commissioned:
not commissioned 
Category:
textbook