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Stochastic Processes for FX rates
Is there any alternative process as opposed to lognormal that coulddescribe better FX deals? Under an FX deal we sell one currency and buy another at the same time. How does the total MtM of the deal evaluate with time?Thanks,G
Stochastic Processes for FX rates
I believe variance gamma/cgmy models are quite popular in the fx world since they are able to capture the random nature of the skewness in these markets quite well.