Alessandro Morico

City University London - The Business School

106 Bunhill Row

London, EC1Y 8TZ

United Kingdom

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Scholarly Papers (1)

1.

Hidden Correlations: A Self-Exciting Tale from the FX World

Number of pages: 33 Posted: 27 Sep 2018
Laura Ballotta and Alessandro Morico
Bayes Business School (formerly Cass) - City, University of London and City University London - The Business School
Downloads 124 (432,852)

Abstract:

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Volatility Skew, Time-Changed Lévy Processes, Affine