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Currency Derivative and International Term Structure Pricing in a Stochastic Interest Rate, Stochastic Volatility and Stochastic Jump Intensity World

https://doi.org/10.2139/ssrn.1002161
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Outgoing claims: the papers this work cites, builds on, or argues with.

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Vector Stochastic Differential Equations
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Pricing foreign currency options under stochastic interest rates
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Dollar jump fears, 1984–1992: distributional abnormalities implicit in currency futures options
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The ‘peso problem’ in testing the efficiency of forward exchange markets
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Interest rates and currency prices in a two-country world
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Forward and spot exchange rates
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Stochastic Differential Equations
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PROBABILITY: THEORY AND EXAMPLES
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Stochastic Calculus
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Equilibrium Valuation of Foreign Exchange Claims
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Jumps and Stochastic Volatility: Exchange Rate Processes Implicit in thePHLX Deutschemark Options
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Post-'87 Crash Fears in S&P 500 Futures Options
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The Empirical Evidence on the Efficiency of Forward and Futures Foreign Exchange Markets
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21 Peso problems: Their theoretical and empirical implications
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