---
title: FX Volatility
url: https://www.ml-quant.com/papers/ssrn/4993938/
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: SSRN 4993938
source_url: https://papers.ssrn.com/sol3/papers.cfm?abstract_id=4993938
featured: 2024-10-23
citations: unknown
topic: Derivatives & Volatility
---


# FX Volatility

High foreign exchange volatility results in higher currency carry returns during high ambiguity, as investors avoid trading, a study shows.

- Source: https://papers.ssrn.com/sol3/papers.cfm?abstract_id=4993938
- Identifier: SSRN 4993938
- Released: 2024-10-21
- First featured: Quant Letter No. 71 (2024-10-23): https://www.ml-quant.com/issues/2024-10-23/
- Citations (Semantic Scholar): not tracked
- Published in: not yet
- Topic: Derivatives & Volatility

## Related

- [Foreign Exchange Exposure and Hedging Strategies: A Case-Based Analysis of MNCs](https://www.ml-quant.com/papers/ssrn/4986846/): The article discusses how multinational companies like CocaCola and IBM manage currency exposure using a mix of financial derivatives and natural hedges.
- [Filling in Missing FX Implied Volatilities with Uncertainties: Improving VAE-Based Volatility Imputation](https://www.ml-quant.com/papers/arxiv/2411.05998/): The study explores enhancing the prediction of missing implied volatilities in FX options using modified variational autoencoders (VAEs), which better manage data uncertainty.
- [Prediction of linear fractional stable motions using codifference, with application to non-Gaussian rough volatility](https://www.ml-quant.com/papers/arxiv/2507.15437/): A new method for predicting future changes in linear fractional stable motion (LFSM) has been proposed, which performs better than the fractional Brownian motion in predicting high-frequency FX rates and volatility time series.
- [CVA Hedging by Risk-Averse Stochastic-Horizon Reinforcement Learning](https://www.ml-quant.com/papers/ssrn/4673150/): The study uses risk-averse Reinforcement Learning for managing potential credit losses on a derivatives portfolio, proving its effectiveness through a numerical study for a portfolio consisting of a single FX forward contract.
- [Political Instability and FDI](https://www.ml-quant.com/papers/ssrn/4973360/): The Gambia has seen a decrease in foreign direct investment due to political instability, corruption, and exchange rate volatility since the 1994 coup, with political stability post-2017 positively affecting investment inflows.
- [Pricing Multi-strike Quanto Call Options on Multiple Assets with Stochastic Volatility, Correlation, and Exchange Rates](https://www.ml-quant.com/papers/arxiv/2411.16617/): The study explores quanto options involving multiple assets in different currencies, concluding that a mix of GARCH-Jump SV, Weibull SC, and Ornstein Uhlenbeck (OU) SER is most effective for Monte Carlo simulation pricing.