Two RBC quants propose a way to value CSAs with more than two currency posting options
ABSTRACT In this paper, we develop a multicurrency extension of the quasi-Gaussian stochastic volatility interest rate model described by Andreasen and Andersen and Piterbarg.We model foreign exchange...
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Repricing the cross smile: an analytic joint density
This whitepaper reviews the fundamental changes of Liquidity Risk Management under Basel III. It discusses how institutions can meet the regulatory requirements on liquidity risk management by enhancing their liquidity risk analytics, funds transfer pricing methodologies, liquidity stress testing frameworks, and enterprise risk management platforms.