English, Article edition: MARKOVIAN PROJECTION ONTO A DISPLACED DIFFUSION: GENERIC FORMULAS WITH APPLICATIONS A. ANTONOV; T. MISIRPASHAEV

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Physical Description
  • article
Language
  • English

Edition details

Title
  • MARKOVIAN PROJECTION ONTO A DISPLACED DIFFUSION: GENERIC FORMULAS WITH APPLICATIONS
Author
  • A. ANTONOV
  • T. MISIRPASHAEV
Physical Description
  • article
Notes
  • We develop a systematic approach to Markovian projection onto an effective displaced diffusion, and work out a set of computationally efficient formulas valid for a large class of non-Markovian underlying processes. The generic derivation is followed by applications, including the calculation of FX options in cross-currency models and swaption pricing in LIBOR Market Models, where we are able to recover in an unambiguous way many known analytical approximations and derive several new ones.
  • Markovian projection, displaced diffusion, LIBOR market model, cross-currency model, swaption, volatility skew
  • RePEc:wsi:ijtafx:v:12:y:2009:i:04:p:507-522
Language
  • English
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