15 citations · 66 across the 31 of their papers we have counts for
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q-fin.CP2017
Influence of jump-at-default in IR and FX on Quanto CDS prices
A. Itkin, V. Shcherbakov, A. Veygman
We propose a new model for pricing Quanto CDS and risky bonds. The model operates with four stochastic factors, namely: hazard rate, foreign exchange rate, domestic interest rate,…
q-fin.CP2017
Modeling stochastic skew of FX options using SLV models with stochastic spot/vol correlation and correlated jumps
Andrey Itkin
It is known that the implied volatility skew of FX options demonstrates a stochastic behavior which is called stochastic skew. In this paper we create stochastic skew by assuming t…