Published June 3, 2022
| Version v1
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Local Volatility Gaussian Model
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Description
The local volatility Gaussian model represents a significant improvement over the existing Lognormal Gaussian Model in its ability to incorporate FX volatility skew effects and value FX-IR hybrid swaps in line with market consensus.
Notes
https://osf.io/q6ut7/download
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localVolGaussian.pdf
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(113.7 kB)
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