Cross-Currency Markov Functional Model with FX Smile
15. 08 06 - 09:03 - Category:Mathematics
(English Text)
We have a
paper on the cross-currency Markov
functional model where the FX functional allow a
calibration to a given market implied volatility
smile. Calibration works for twenty years and
beyond. More details may be found in the Diploma
thesis of Fabian Eckstädt.