{"record_type":"pith_number_record","schema_url":"https://pith.science/schemas/pith-number/v1.json","pith_number":"pith:2019:F77F4FXK2RAHS7NTKHX2NBIBXQ","short_pith_number":"pith:F77F4FXK","schema_version":"1.0","canonical_sha256":"2ffe5e16ead440797db351efa68501bc37abcf3d73a94b6296bd2b27ec993d1f","source":{"kind":"arxiv","id":"1905.05310","version":3},"attestation_state":"computed","paper":{"title":"On the consistency of jump-diffusion dynamics for FX rates under inversion","license":"http://arxiv.org/licenses/nonexclusive-distrib/1.0/","headline":"","cross_cats":[],"primary_cat":"q-fin.MF","authors_text":"Andrea Pallavicini, Damiano Brigo, Federico Graceffa","submitted_at":"2019-05-13T22:49:32Z","abstract_excerpt":"In this note we investigate the consistency under inversion of jump diffusion processes in the Foreign Exchange (FX) market. In other terms, if the EUR/USD FX rate follows a given type of dynamics, under which conditions will USD/EUR follow the same type of dynamics? In order to give a numerical description of this property, we first calibrate a Heston model and a SABR model to market data, plotting their smiles together with the smiles of the reciprocal processes. Secondly, we determine a suitable local volatility structure ensuring consistency. We subsequently introduce jumps and analyze bot"},"verification_status":{"content_addressed":true,"pith_receipt":true,"author_attested":false,"weak_author_claims":0,"strong_author_claims":0,"externally_anchored":false,"storage_verified":false,"citation_signatures":0,"replication_records":0,"graph_snapshot":true,"references_resolved":false,"formal_links_present":false},"canonical_record":{"source":{"id":"1905.05310","kind":"arxiv","version":3},"metadata":{"license":"http://arxiv.org/licenses/nonexclusive-distrib/1.0/","primary_cat":"q-fin.MF","submitted_at":"2019-05-13T22:49:32Z","cross_cats_sorted":[],"title_canon_sha256":"f4fabd87859a405fe7d0761b8e2383b8f131c183a0374bcc5099447d637c76f4","abstract_canon_sha256":"d4ae7beee2cb54f0c35fa191e29f257e2adc0438492a3ba99f95142a85aa2a23"},"schema_version":"1.0"},"receipt":{"kind":"pith_receipt","key_id":"pith-v1-2026-05","algorithm":"ed25519","signed_at":"2026-05-17T23:41:17.235879Z","signature_b64":"ezZ7YJjmwE+YWX32zBUBD/vDcO/NL1Xea3j0HrXkCjazldAqOpnhGWVHHl2uN9n4ouKwqtKj9DmDAVUBplu1CQ==","signed_message":"canonical_sha256_bytes","builder_version":"pith-number-builder-2026-05-17-v1","receipt_version":"0.3","canonical_sha256":"2ffe5e16ead440797db351efa68501bc37abcf3d73a94b6296bd2b27ec993d1f","last_reissued_at":"2026-05-17T23:41:17.235293Z","signature_status":"signed_v1","first_computed_at":"2026-05-17T23:41:17.235293Z","public_key_fingerprint":"8d4b5ee74e4693bcd1df2446408b0d54"},"graph_snapshot":{"paper":{"title":"On the consistency of jump-diffusion dynamics for FX rates under inversion","license":"http://arxiv.org/licenses/nonexclusive-distrib/1.0/","headline":"","cross_cats":[],"primary_cat":"q-fin.MF","authors_text":"Andrea Pallavicini, Damiano Brigo, Federico Graceffa","submitted_at":"2019-05-13T22:49:32Z","abstract_excerpt":"In this note we investigate the consistency under inversion of jump diffusion processes in the Foreign Exchange (FX) market. In other terms, if the EUR/USD FX rate follows a given type of dynamics, under which conditions will USD/EUR follow the same type of dynamics? In order to give a numerical description of this property, we first calibrate a Heston model and a SABR model to market data, plotting their smiles together with the smiles of the reciprocal processes. Secondly, we determine a suitable local volatility structure ensuring consistency. We subsequently introduce jumps and analyze bot"},"claims":{"count":0,"items":[],"snapshot_sha256":"258153158e38e3291e3d48162225fcdb2d5a3ed65a07baac614ab91432fd4f57"},"source":{"id":"1905.05310","kind":"arxiv","version":3},"verdict":{"id":null,"model_set":{},"created_at":null,"strongest_claim":"","one_line_summary":"","pipeline_version":null,"weakest_assumption":"","pith_extraction_headline":""},"references":{"count":0,"sample":[],"resolved_work":0,"snapshot_sha256":"258153158e38e3291e3d48162225fcdb2d5a3ed65a07baac614ab91432fd4f57","internal_anchors":0},"formal_canon":{"evidence_count":0,"snapshot_sha256":"258153158e38e3291e3d48162225fcdb2d5a3ed65a07baac614ab91432fd4f57"},"author_claims":{"count":0,"strong_count":0,"snapshot_sha256":"258153158e38e3291e3d48162225fcdb2d5a3ed65a07baac614ab91432fd4f57"},"builder_version":"pith-number-builder-2026-05-17-v1"},"aliases":[{"alias_kind":"arxiv","alias_value":"1905.05310","created_at":"2026-05-17T23:41:17.235396+00:00"},{"alias_kind":"arxiv_version","alias_value":"1905.05310v3","created_at":"2026-05-17T23:41:17.235396+00:00"},{"alias_kind":"doi","alias_value":"10.48550/arxiv.1905.05310","created_at":"2026-05-17T23:41:17.235396+00:00"},{"alias_kind":"pith_short_12","alias_value":"F77F4FXK2RAH","created_at":"2026-05-18T12:33:15.570797+00:00"},{"alias_kind":"pith_short_16","alias_value":"F77F4FXK2RAHS7NT","created_at":"2026-05-18T12:33:15.570797+00:00"},{"alias_kind":"pith_short_8","alias_value":"F77F4FXK","created_at":"2026-05-18T12:33:15.570797+00:00"}],"events":[],"event_summary":{},"paper_claims":[],"inbound_citations":{"count":0,"internal_anchor_count":0,"sample":[]},"formal_canon":{"evidence_count":0,"sample":[],"anchors":[]},"links":{"html":"https://pith.science/pith/F77F4FXK2RAHS7NTKHX2NBIBXQ","json":"https://pith.science/pith/F77F4FXK2RAHS7NTKHX2NBIBXQ.json","graph_json":"https://pith.science/api/pith-number/F77F4FXK2RAHS7NTKHX2NBIBXQ/graph.json","events_json":"https://pith.science/api/pith-number/F77F4FXK2RAHS7NTKHX2NBIBXQ/events.json","paper":"https://pith.science/paper/F77F4FXK"},"agent_actions":{"view_html":"https://pith.science/pith/F77F4FXK2RAHS7NTKHX2NBIBXQ","download_json":"https://pith.science/pith/F77F4FXK2RAHS7NTKHX2NBIBXQ.json","view_paper":"https://pith.science/paper/F77F4FXK","resolve_alias":"https://pith.science/api/pith-number/resolve?arxiv=1905.05310&json=true","fetch_graph":"https://pith.science/api/pith-number/F77F4FXK2RAHS7NTKHX2NBIBXQ/graph.json","fetch_events":"https://pith.science/api/pith-number/F77F4FXK2RAHS7NTKHX2NBIBXQ/events.json","actions":{"anchor_timestamp":"https://pith.science/pith/F77F4FXK2RAHS7NTKHX2NBIBXQ/action/timestamp_anchor","attest_storage":"https://pith.science/pith/F77F4FXK2RAHS7NTKHX2NBIBXQ/action/storage_attestation","attest_author":"https://pith.science/pith/F77F4FXK2RAHS7NTKHX2NBIBXQ/action/author_attestation","sign_citation":"https://pith.science/pith/F77F4FXK2RAHS7NTKHX2NBIBXQ/action/citation_signature","submit_replication":"https://pith.science/pith/F77F4FXK2RAHS7NTKHX2NBIBXQ/action/replication_record"}},"created_at":"2026-05-17T23:41:17.235396+00:00","updated_at":"2026-05-17T23:41:17.235396+00:00"}