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On cross currency models with stochastic volatility and correlated interest rates

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Figure

Figure 2.1: Comparison of implied volatilities from the market and the FX-HHW1model for FX European call options for maturities of 1, 10 and 20 years
Figure 3.1: The correlation structure for the FX-HLMM model. Arrows indicate non-zero correlations
Table 3.1: Differences, in implied Black volatilities, between the FX-HLMM and FX-LMM1 models
Table 3.2: Implied volatilities of the FX options from the FX-HLMM and FX-HLMM1models, T = 10 and parameters were as in Section 3.3
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