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Modelling the FX Skew

Modelling the FX Skew. Dherminder Kainth and Nagulan Saravanamuttu QuaRC, Royal Bank of Scotland. Overview. FX Markets Possible Models and Calibration Variance Swaps Extensions. FX Markets. Market Features Liquid Instruments Importance of Forward Smile. Spot. Spot. Volatility.

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Modelling the FX Skew