Chinese University of Hong Kong
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Forward Implied Volatility, Implied vol Surface, Time-dependent SABR model, FX options
forward smile risk, SABR stochastic volatility model, joint transition density
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short rate models, multi-curve modeling, swaption calibration, SABR model, stochastic volatility, asymptotic expansion, mean-field approximation
central counterparties, risk-sensitive margin requirements, procyclicality
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