---
title: Multi-Currency Modeling
url: https://www.ml-quant.com/papers/repec/spr-annopr-v-336-y-2024-i-1-d-10-1007-s10479-022-04982-z/
site: ML-Quant (https://www.ml-quant.com)
updated: 2026-09-26
license: Summaries CC BY 4.0; links go to the original sources
index: https://www.ml-quant.com/llms.txt
identifier: RePEc:spr:annopr:v:336:y:2024:i:1:d:10.1007_s10479-022-04982-z
source_url: https://econpapers.repec.org/scripts/redir.pf?u=http%3A%2F%2Flink.springer.com%2F10.1007%2Fs10479-022-04982-z%3Bh%3Drepec%3Aspr%3Aannopr%3Av%3A336%3Ay%3A2024%3Ai%3A1%3Ad%3A10.1007_s10479-022-04982-z
featured: 2024-05-22
citations: unknown
topic: Macro-Finance & Rates
---


# Multi-Currency Modeling

A new framework for modeling multiple currencies using CBI-time-changed Lévy processes has been created, offering a semi-closed pricing formula for currency options and two calibration methods using deep-learning techniques.

- Source: https://econpapers.repec.org/scripts/redir.pf?u=http%3A%2F%2Flink.springer.com%2F10.1007%2Fs10479-022-04982-z%3Bh%3Drepec%3Aspr%3Aannopr%3Av%3A336%3Ay%3A2024%3Ai%3A1%3Ad%3A10.1007_s10479-022-04982-z
- Identifier: RePEc:spr:annopr:v:336:y:2024:i:1:d:10.1007_s10479-022-04982-z
- Released: 2024-05-22
- First featured: Quant Letter No. 50 (2024-05-22): https://www.ml-quant.com/issues/2024-05-22/
- Citations (Semantic Scholar): not tracked
- Published in: not yet
- Topic: Macro-Finance & Rates

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