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Title:

A two-sided Gamma-OU-BNS model for multicurrency FX markets

Document type:
Buchbeitrag
Author(s):
Bannör, K. F.; Scherer, M.; Schulz, T.
Non-TUM Co-author(s):
ja
Cooperation:
national
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
WWW:
http://link.springer.com/content/pdf/10.1007%25252F978-3-319-09114-3_6.pdf
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
Technology:
Nein
Interdisciplinarity:
Nein
Mission statement:
;
Ethics and Sustainability:
Nein
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