Imperial College London
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ProfessorDamianoBrigo

Faculty of Natural Sciences, Department of Mathematics

Chair in Mathematical Finance
 
 
 
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Contact

 

damiano.brigo CV

 
 
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Location

 

805Weeks BuildingSouth Kensington Campus

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Summary

 

Publications

Citation

BibTex format

@article{Graceffa:2020:10.1142/S2424786320500462,
author = {Graceffa, F and Brigo, D and Pallavicini, A},
doi = {10.1142/S2424786320500462},
journal = {International Journal of Financial Engineering},
pages = {1--1},
title = {On the consistency of jump-diffusion dynamics for FX rates under inversion},
url = {http://dx.doi.org/10.1142/S2424786320500462},
volume = {7},
year = {2020}
}
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RIS format (EndNote, RefMan)

TY  - JOUR
AB  - We investigate the consistency under inversion of jump diffusion processes in the foreign exchange market. That is, if the EUR/USD exchange rate follows a given type of dynamics, under which conditions will USD/EUR follow the same type of dynamics? After giving a numerical description of this property, we establish a suitable local volatility structure ensuring consistency. We subsequently introduce jumps and analyze both constant and random jump size. While in the first scenario consistency is automatically satisfied, the second case is more involved. A fairly general class of admissible densities for the jump size in the domestic measure is determined.
AU  - Graceffa,F
AU  - Brigo,D
AU  - Pallavicini,A
DO  - 10.1142/S2424786320500462
EP  - 1
PY  - 2020///
SN  - 2424-7863
SP  - 1
TI  - On the consistency of jump-diffusion dynamics for FX rates under inversion
T2  - International Journal of Financial Engineering
UR  - http://dx.doi.org/10.1142/S2424786320500462
UR  - https://www.worldscientific.com/doi/epdf/10.1142/S2424786320500462
UR  - http://hdl.handle.net/10044/1/84946
VL  - 7
ER  -
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