CBI-time-changed Lévy processes for multi-currency modeling

Processes with independent increments; Lévy processes (60G51) Numerical methods (including Monte Carlo methods) (91G60) Applications of branching processes (60J85) Interest rates, asset pricing, etc. (stochastic models) (91G30) Derivative securities (option pricing, hedging, etc.) (91G20)

Cites Work

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A Novel Pricing Method for European Options Based on Fourier-Cosine Series Expansions
A Lamperti-type representation of continuous-state branching processes with immigration
The fundamental theorem of asset pricing for unbounded stochastic processes
The cumulant process and Esscher's change of measure
Affine processes and applications in finance
A multivariate stochastic volatility model with applications in the foreign exchange market
Multivariate FX models with jumps: triangles, quantos and implied correlation
Multiple yield curve modelling with CBI processes
Calibration to FX triangles of the 4/2 model under the benchmark approach
Exponential moments of affine processes
Alpha-CIR model with branching processes in sovereign interest rate modeling
Skew convolution semigroups and affine Markov processes
Riding on the smiles
An Affine Multicurrency Model with Stochastic Volatility and Stochastic Interest Rates
COHERENT FOREIGN EXCHANGE MARKET MODELS
The Shape and Term Structure of the Index Option Smirk: Why Multifactor Stochastic Volatility Models Work So Well
A cross-currency Lévy market model
Probability with Martingales
Financial Modelling with Jump Processes
Deep learning volatility: a deep neural network perspective on pricing and calibration in (rough) volatility models
The Stochastic Intrinsic Currency Volatility Model: A Consistent Framework for Multiple FX Rates and Their Volatilities
The Alpha‐Heston stochastic volatility model
CBI-time-changed Lévy processes

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