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q-fin.PR2022
Efficient and Accurate Calibration to FX Market Skew with Fully Parameterized Local Volatility Model
Dongli Wu, Bufan Zhang, Xiao Lin
When trading American and Asian options in the FX derivatives market, banks must calculate prices using a complex mathematical model. It is often observed that different models pro…
q-fin.PR2016
The Zero-Coupon Rate Model for Derivatives Pricing
Xiao Lin
The aim of this paper is to present a dual-term structure model of interest rate derivatives in order to solve the two hardest problems in financial modeling: the exact volatility…