A Multi-Currency Model with FX Volatility Skew
| Author | : Vladimir Piterbarg |
| Publisher | : |
| Total Pages | : 25 |
| Release | : 2005 |
| ISBN-10 | : OCLC:1290344117 |
| ISBN-13 | : |
| Rating | : 4/5 (17 Downloads) |
Book Synopsis A Multi-Currency Model with FX Volatility Skew by : Vladimir Piterbarg
Download or read book A Multi-Currency Model with FX Volatility Skew written by Vladimir Piterbarg and published by . This book was released on 2005 with total page 25 pages. Available in PDF, EPUB and Kindle. Book excerpt: The paper develops a multi-currency model with FX skew for power-reverse dual-currency (PRDC) swaps, with a particular emphasis on model calibration to FX options across different maturities and strikes. New theoretical results on locally-optimal Markovian projections are obtained. When combined with powerful skew averaging techniques, a fast and robust calibration method is developed. The impact of the FX skew on cancellable and knockout PRDC swaps is analyzed.
