The multivariate mixture dynamics model: shifted dynamics and correlation skew (Q2241131)
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| Language | Label | Description | Also known as |
|---|---|---|---|
| English | The multivariate mixture dynamics model: shifted dynamics and correlation skew |
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The multivariate mixture dynamics model: shifted dynamics and correlation skew (English)
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8 November 2021
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MVMD model
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mixture of densities
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multivariate local volatility
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correlation skew
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random correlation
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calibration
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cross exchange rates
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FX smile
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index volatility smile
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renminbi-USD smile
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renminbi-EUR smile
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CNY-USD smile
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CNY-EUR smile
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SCMD model
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