FX skew modeling

purs · February 3rd, 2006, 2:11 pm

What are the "generally accepted" ways of modeling skew dynamics in FX?By "generally accepted" I mean something that is used, for example, for tradingin major banks. Pointers to information/research/white papers would bemuch appreciated. Thanks!

Errrb · February 3rd, 2006, 8:25 pm

Heston model or some variants of it are used by most practitioners, trading currency options.

olaolson · February 3rd, 2006, 9:28 pm

I would have a look on the research by Uwe Wystrup.