Dynamics of foreign exchange implied volatility and implied correlation surfaces

Journal article

Dynamics of foreign exchange implied volatility and implied correlation surfaces

Beer, S. Institute of Insurance Economics, University of St. Gallen, Tannenstrasse 19, CH-9000 St. Gallen, Switzerland
Fink, H. Center for Quantitative Risk Analysis, Department of Statistics, Ludwig-Maximilians-University Munich, Akademiestraße 1/I, D-80799 Munich, Germany

2019-2-21

Published in:

Quantitative Finance. - Informa UK Limited. - 2019, vol. 19, no. 8, p. 1293-1320

General Economics, Econometrics and Finance

Finance

Language

English

Open access status

closed

Identifiers

DOI 10.1080/14697688.2019.1575517
ISSN 1469-7688

Persistent URL

https://sonar.ch/global/documents/5682

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