Multivariate FX models with jumps: Triangles, Quantos and implied correlation.

Laura Ballotta Griselda Deelstra Grégory Rayée

Published in: Eur. J. Oper. Res. (2017)

Keyphrases

statistical models
regression model
statistical tests
real time
information systems
decision trees
markov chain
point processes
parameter estimation
complex systems
experimental data
modeling framework