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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…
econ.TH2022
Credible Persuasion
Xiao Lin, Ce Liu
We propose a new notion of credibility for Bayesian persuasion problems. A disclosure policy is credible if the sender cannot profit from tampering with her messages while keeping…