2 papers
q-fin.CP2012
The potential approach in practice
Tino Kluge, L. C. G. Rogers
The potential approach is a general and simple method for modelling interest rates, foreign exchange rates, and in principle other types of financial assets. This paper takes data…
q-fin.CP2010
FX Smile in the Heston Model
Agnieszka Janek, Tino Kluge, Rafal Weron +1
The Heston model stands out from the class of stochastic volatility (SV) models mainly for two reasons. Firstly, the process for the volatility is non-negative and mean-reverting,…