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Data sources: Datacite
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Local Volatility Gaussian Model

descriptionPublicationkeyboard_double_arrow_right Presentation 03 Jun 2022 English Publisher:Zenodo
Authors: Lee, David;

doi: 10.5281/zenodo.6611928 , 10.5281/zenodo.6611927 , 10.5281/zenodo.7017669

Local Volatility Gaussian Model

Abstract

The local volatility Gaussian model represents a significant improvement over the existing Lognormal Gaussian Model in its ability to incorporate FX volatility skew effects and value FX-IR hybrid swaps in line with market consensus.

https://osf.io/q6ut7/download

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Local Volatility Gaussian Model

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selected citations
These citations are derived from selected sources.
This is an alternative to the "Influence" indicator, which also reflects the overall/total impact of an article in the research community at large, based on the underlying citation network (diachronically).
BIP!Citations provided by BIP!
popularity
This indicator reflects the "current" impact/attention (the "hype") of an article in the research community at large, based on the underlying citation network.
BIP!Popularity provided by BIP!
influence
This indicator reflects the overall/total impact of an article in the research community at large, based on the underlying citation network (diachronically).
BIP!Influence provided by BIP!
impulse
This indicator reflects the initial momentum of an article directly after its publication, based on the underlying citation network.
BIP!Impulse provided by BIP!
views
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