{"bundle_type":"pith_open_graph_bundle","bundle_version":"1.0","pith_number":"pith:2017:ZEWNSTUKAABEB6SRBFOFZWBZYY","short_pith_number":"pith:ZEWNSTUK","canonical_record":{"source":{"id":"1701.02821","kind":"arxiv","version":2},"metadata":{"license":"http://arxiv.org/licenses/nonexclusive-distrib/1.0/","primary_cat":"q-fin.CP","submitted_at":"2017-01-11T01:23:27Z","cross_cats_sorted":["math.NA","q-fin.MF","q-fin.PR"],"title_canon_sha256":"db90ba2ea1113fba2c914e5d0d77b08469a14d6b67b262e73a94b46456648d7e","abstract_canon_sha256":"9cc30d653791860bb420cdc91f2ab4a37fb68f683a52025a75f1210e3f96e868"},"schema_version":"1.0"},"canonical_sha256":"c92cd94e8a000240fa51095c5cd839c6152df5af55c0fdefeef692f95df2b0ba","source":{"kind":"arxiv","id":"1701.02821","version":2},"source_aliases":[{"alias_kind":"arxiv","alias_value":"1701.02821","created_at":"2026-05-18T00:52:30Z"},{"alias_kind":"arxiv_version","alias_value":"1701.02821v2","created_at":"2026-05-18T00:52:30Z"},{"alias_kind":"doi","alias_value":"10.48550/arxiv.1701.02821","created_at":"2026-05-18T00:52:30Z"},{"alias_kind":"pith_short_12","alias_value":"ZEWNSTUKAABE","created_at":"2026-05-18T12:31:59Z"},{"alias_kind":"pith_short_16","alias_value":"ZEWNSTUKAABEB6SR","created_at":"2026-05-18T12:31:59Z"},{"alias_kind":"pith_short_8","alias_value":"ZEWNSTUK","created_at":"2026-05-18T12:31:59Z"}],"events":[{"event_type":"record_created","subject_pith_number":"pith:2017:ZEWNSTUKAABEB6SRBFOFZWBZYY","target":"record","payload":{"canonical_record":{"source":{"id":"1701.02821","kind":"arxiv","version":2},"metadata":{"license":"http://arxiv.org/licenses/nonexclusive-distrib/1.0/","primary_cat":"q-fin.CP","submitted_at":"2017-01-11T01:23:27Z","cross_cats_sorted":["math.NA","q-fin.MF","q-fin.PR"],"title_canon_sha256":"db90ba2ea1113fba2c914e5d0d77b08469a14d6b67b262e73a94b46456648d7e","abstract_canon_sha256":"9cc30d653791860bb420cdc91f2ab4a37fb68f683a52025a75f1210e3f96e868"},"schema_version":"1.0"},"canonical_sha256":"c92cd94e8a000240fa51095c5cd839c6152df5af55c0fdefeef692f95df2b0ba","receipt":{"kind":"pith_receipt","key_id":"pith-v1-2026-05","algorithm":"ed25519","signed_at":"2026-05-18T00:52:30.636451Z","signature_b64":"/134AHxQkn0HL+x8yPD5O0GCD5BcWieBSd+9q98WwE0CHuxcQEelDgehIJPIH9Z0FSg29U6BE0qP4klL7/DrBg==","signed_message":"canonical_sha256_bytes","builder_version":"pith-number-builder-2026-05-17-v1","receipt_version":"0.3","canonical_sha256":"c92cd94e8a000240fa51095c5cd839c6152df5af55c0fdefeef692f95df2b0ba","last_reissued_at":"2026-05-18T00:52:30.636065Z","signature_status":"signed_v1","first_computed_at":"2026-05-18T00:52:30.636065Z","public_key_fingerprint":"8d4b5ee74e4693bcd1df2446408b0d54"},"source_kind":"arxiv","source_id":"1701.02821","source_version":2,"attestation_state":"computed"},"signer":{"signer_id":"pith.science","signer_type":"pith_registry","key_id":"pith-v1-2026-05","public_key_fingerprint":"8d4b5ee74e4693bcd1df2446408b0d54"},"created_at":"2026-05-18T00:52:30Z","supersedes":[],"prev_event":null,"signature":{"signature_status":"signed_v1","algorithm":"ed25519","key_id":"pith-v1-2026-05","public_key_fingerprint":"8d4b5ee74e4693bcd1df2446408b0d54","signature_b64":"6vVdXQebXYSUHqrfHcQV+PafcPGr0Bzqwi/v97SqRhyotEd0ErTZdl8rsbZmgOT0dcftNlDtFz23I3Uw2nLKDw==","signed_message":"open_graph_event_sha256_bytes","signed_at":"2026-06-01T06:23:09.546866Z"},"content_sha256":"aa2c4403a5b8bd71760f2e0609a7745b8f88363d6319082f7e6b196782b99b5a","schema_version":"1.0","event_id":"sha256:aa2c4403a5b8bd71760f2e0609a7745b8f88363d6319082f7e6b196782b99b5a"},{"event_type":"graph_snapshot","subject_pith_number":"pith:2017:ZEWNSTUKAABEB6SRBFOFZWBZYY","target":"graph","payload":{"graph_snapshot":{"paper":{"title":"Modeling stochastic skew of FX options using SLV models with stochastic spot/vol correlation and correlated jumps","license":"http://arxiv.org/licenses/nonexclusive-distrib/1.0/","headline":"","cross_cats":["math.NA","q-fin.MF","q-fin.PR"],"primary_cat":"q-fin.CP","authors_text":"Andrey Itkin","submitted_at":"2017-01-11T01:23:27Z","abstract_excerpt":"It is known that the implied volatility skew of FX options demonstrates a stochastic behavior which is called stochastic skew. In this paper we create stochastic skew by assuming the spot/instantaneous variance correlation to be stochastic. Accordingly, we consider a class of SLV models with stochastic correlation where all drivers - the spot, instantaneous variance and their correlation are modeled by Levy processes. We assume all diffusion components to be fully correlated as well as all jump components. A new fully implicit splitting finite-difference scheme is proposed for solving forward "},"claims":{"count":0,"items":[],"snapshot_sha256":"258153158e38e3291e3d48162225fcdb2d5a3ed65a07baac614ab91432fd4f57"},"source":{"id":"1701.02821","kind":"arxiv","version":2},"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"},"verdict_id":null},"signer":{"signer_id":"pith.science","signer_type":"pith_registry","key_id":"pith-v1-2026-05","public_key_fingerprint":"8d4b5ee74e4693bcd1df2446408b0d54"},"created_at":"2026-05-18T00:52:30Z","supersedes":[],"prev_event":null,"signature":{"signature_status":"signed_v1","algorithm":"ed25519","key_id":"pith-v1-2026-05","public_key_fingerprint":"8d4b5ee74e4693bcd1df2446408b0d54","signature_b64":"z8sQnsrQQPCnGpWjG8fh63IdWVO58zUQQj8vWIX0+RRurp3V50IJlZb0YzECGGG0pw/bDv+Ntf6R2lhz09eoBw==","signed_message":"open_graph_event_sha256_bytes","signed_at":"2026-06-01T06:23:09.547220Z"},"content_sha256":"9477486075f58f7d0182632e985caff37b0a3262400fac9e28bab76b9c400afd","schema_version":"1.0","event_id":"sha256:9477486075f58f7d0182632e985caff37b0a3262400fac9e28bab76b9c400afd"}],"timestamp_proofs":[],"mirror_hints":[{"mirror_type":"https","name":"Pith Resolver","base_url":"https://pith.science","bundle_url":"https://pith.science/pith/ZEWNSTUKAABEB6SRBFOFZWBZYY/bundle.json","state_url":"https://pith.science/pith/ZEWNSTUKAABEB6SRBFOFZWBZYY/state.json","well_known_bundle_url":"https://pith.science/.well-known/pith/ZEWNSTUKAABEB6SRBFOFZWBZYY/bundle.json","status":"primary"}],"public_keys":[{"key_id":"pith-v1-2026-05","algorithm":"ed25519","format":"raw","public_key_b64":"stVStoiQhXFxp4s2pdzPNoqVNBMojDU/fJ2db5S3CbM=","public_key_hex":"b2d552b68890857171a78b36a5dccf368a953413288c353f7c9d9d6f94b709b3","fingerprint_sha256_b32_first128bits":"RVFV5Z2OI2J3ZUO7ERDEBCYNKS","fingerprint_sha256_hex":"8d4b5ee74e4693bcd1df2446408b0d54","rotates_at":null,"url":"https://pith.science/pith-signing-key.json","notes":"Pith uses this Ed25519 key to sign canonical record SHA-256 digests. Verify with: ed25519_verify(public_key, message=canonical_sha256_bytes, signature=base64decode(signature_b64))."}],"merge_version":"pith-open-graph-merge-v1","built_at":"2026-06-01T06:23:09Z","links":{"resolver":"https://pith.science/pith/ZEWNSTUKAABEB6SRBFOFZWBZYY","bundle":"https://pith.science/pith/ZEWNSTUKAABEB6SRBFOFZWBZYY/bundle.json","state":"https://pith.science/pith/ZEWNSTUKAABEB6SRBFOFZWBZYY/state.json","well_known_bundle":"https://pith.science/.well-known/pith/ZEWNSTUKAABEB6SRBFOFZWBZYY/bundle.json"},"state":{"state_type":"pith_open_graph_state","state_version":"1.0","pith_number":"pith:2017:ZEWNSTUKAABEB6SRBFOFZWBZYY","merge_version":"pith-open-graph-merge-v1","event_count":2,"valid_event_count":2,"invalid_event_count":0,"equivocation_count":0,"current":{"canonical_record":{"metadata":{"abstract_canon_sha256":"9cc30d653791860bb420cdc91f2ab4a37fb68f683a52025a75f1210e3f96e868","cross_cats_sorted":["math.NA","q-fin.MF","q-fin.PR"],"license":"http://arxiv.org/licenses/nonexclusive-distrib/1.0/","primary_cat":"q-fin.CP","submitted_at":"2017-01-11T01:23:27Z","title_canon_sha256":"db90ba2ea1113fba2c914e5d0d77b08469a14d6b67b262e73a94b46456648d7e"},"schema_version":"1.0","source":{"id":"1701.02821","kind":"arxiv","version":2}},"source_aliases":[{"alias_kind":"arxiv","alias_value":"1701.02821","created_at":"2026-05-18T00:52:30Z"},{"alias_kind":"arxiv_version","alias_value":"1701.02821v2","created_at":"2026-05-18T00:52:30Z"},{"alias_kind":"doi","alias_value":"10.48550/arxiv.1701.02821","created_at":"2026-05-18T00:52:30Z"},{"alias_kind":"pith_short_12","alias_value":"ZEWNSTUKAABE","created_at":"2026-05-18T12:31:59Z"},{"alias_kind":"pith_short_16","alias_value":"ZEWNSTUKAABEB6SR","created_at":"2026-05-18T12:31:59Z"},{"alias_kind":"pith_short_8","alias_value":"ZEWNSTUK","created_at":"2026-05-18T12:31:59Z"}],"graph_snapshots":[{"event_id":"sha256:9477486075f58f7d0182632e985caff37b0a3262400fac9e28bab76b9c400afd","target":"graph","created_at":"2026-05-18T00:52:30Z","signer":{"key_id":"pith-v1-2026-05","public_key_fingerprint":"8d4b5ee74e4693bcd1df2446408b0d54","signer_id":"pith.science","signer_type":"pith_registry"},"payload":{"graph_snapshot":{"author_claims":{"count":0,"snapshot_sha256":"258153158e38e3291e3d48162225fcdb2d5a3ed65a07baac614ab91432fd4f57","strong_count":0},"builder_version":"pith-number-builder-2026-05-17-v1","claims":{"count":0,"items":[],"snapshot_sha256":"258153158e38e3291e3d48162225fcdb2d5a3ed65a07baac614ab91432fd4f57"},"formal_canon":{"evidence_count":0,"snapshot_sha256":"258153158e38e3291e3d48162225fcdb2d5a3ed65a07baac614ab91432fd4f57"},"paper":{"abstract_excerpt":"It is known that the implied volatility skew of FX options demonstrates a stochastic behavior which is called stochastic skew. In this paper we create stochastic skew by assuming the spot/instantaneous variance correlation to be stochastic. Accordingly, we consider a class of SLV models with stochastic correlation where all drivers - the spot, instantaneous variance and their correlation are modeled by Levy processes. We assume all diffusion components to be fully correlated as well as all jump components. A new fully implicit splitting finite-difference scheme is proposed for solving forward ","authors_text":"Andrey Itkin","cross_cats":["math.NA","q-fin.MF","q-fin.PR"],"headline":"","license":"http://arxiv.org/licenses/nonexclusive-distrib/1.0/","primary_cat":"q-fin.CP","submitted_at":"2017-01-11T01:23:27Z","title":"Modeling stochastic skew of FX options using SLV models with stochastic spot/vol correlation and correlated jumps"},"references":{"count":0,"internal_anchors":0,"resolved_work":0,"sample":[],"snapshot_sha256":"258153158e38e3291e3d48162225fcdb2d5a3ed65a07baac614ab91432fd4f57"},"source":{"id":"1701.02821","kind":"arxiv","version":2},"verdict":{"created_at":null,"id":null,"model_set":{},"one_line_summary":"","pipeline_version":null,"pith_extraction_headline":"","strongest_claim":"","weakest_assumption":""}},"verdict_id":null}}],"author_attestations":[],"timestamp_anchors":[],"storage_attestations":[],"citation_signatures":[],"replication_records":[],"corrections":[],"mirror_hints":[],"record_created":{"event_id":"sha256:aa2c4403a5b8bd71760f2e0609a7745b8f88363d6319082f7e6b196782b99b5a","target":"record","created_at":"2026-05-18T00:52:30Z","signer":{"key_id":"pith-v1-2026-05","public_key_fingerprint":"8d4b5ee74e4693bcd1df2446408b0d54","signer_id":"pith.science","signer_type":"pith_registry"},"payload":{"attestation_state":"computed","canonical_record":{"metadata":{"abstract_canon_sha256":"9cc30d653791860bb420cdc91f2ab4a37fb68f683a52025a75f1210e3f96e868","cross_cats_sorted":["math.NA","q-fin.MF","q-fin.PR"],"license":"http://arxiv.org/licenses/nonexclusive-distrib/1.0/","primary_cat":"q-fin.CP","submitted_at":"2017-01-11T01:23:27Z","title_canon_sha256":"db90ba2ea1113fba2c914e5d0d77b08469a14d6b67b262e73a94b46456648d7e"},"schema_version":"1.0","source":{"id":"1701.02821","kind":"arxiv","version":2}},"canonical_sha256":"c92cd94e8a000240fa51095c5cd839c6152df5af55c0fdefeef692f95df2b0ba","receipt":{"algorithm":"ed25519","builder_version":"pith-number-builder-2026-05-17-v1","canonical_sha256":"c92cd94e8a000240fa51095c5cd839c6152df5af55c0fdefeef692f95df2b0ba","first_computed_at":"2026-05-18T00:52:30.636065Z","key_id":"pith-v1-2026-05","kind":"pith_receipt","last_reissued_at":"2026-05-18T00:52:30.636065Z","public_key_fingerprint":"8d4b5ee74e4693bcd1df2446408b0d54","receipt_version":"0.3","signature_b64":"/134AHxQkn0HL+x8yPD5O0GCD5BcWieBSd+9q98WwE0CHuxcQEelDgehIJPIH9Z0FSg29U6BE0qP4klL7/DrBg==","signature_status":"signed_v1","signed_at":"2026-05-18T00:52:30.636451Z","signed_message":"canonical_sha256_bytes"},"source_id":"1701.02821","source_kind":"arxiv","source_version":2}}},"equivocations":[],"invalid_events":[],"applied_event_ids":["sha256:aa2c4403a5b8bd71760f2e0609a7745b8f88363d6319082f7e6b196782b99b5a","sha256:9477486075f58f7d0182632e985caff37b0a3262400fac9e28bab76b9c400afd"],"state_sha256":"50a7e030f9a5a98cca872f5ce8a03605b345e1a6d890252b8006fa040a9ae986"},"bundle_signature":{"signature_status":"signed_v1","algorithm":"ed25519","key_id":"pith-v1-2026-05","public_key_fingerprint":"8d4b5ee74e4693bcd1df2446408b0d54","signature_b64":"aGzrUCKxglg/GTkIPWwlSX8Jd04HFuzYfSDxMRi9c4k2FuW/Ox4tmUOFsHqijjXUupdULHFv+2+DUKgQrTKjCg==","signed_message":"bundle_sha256_bytes","signed_at":"2026-06-01T06:23:09.549470Z","bundle_sha256":"5f744a82d3abefff59e9c6aa9dce2bf707dd15f221a861557a9e3d118e4008dc"}}