Foreign exchange correlation swap: problem solver or troublemaker?

A correlation structure is an important element in pricing products such as correlation swaps

CLICK HERE TO VIEW THE PDF

Alvise De Col and Patrick Kuppinger show foreign exchange correlation swap prices exhibit a non-trivial dependency on higher-order parameters, such as the correlations between forex variances. Ignoring them may result in a non-negligible uncertainty in the corresponding quotes. It is demonstrated that stochastic local correlation models are capable of capturing a wide spectrum of that uncertainty

Multi-asset products have become fairly standard for derivatives invest

To continue reading...

You need to sign in to use this feature. If you don’t have a Risk.net account, please register for a trial.

Sign in
You are currently on corporate access.

To use this feature you will need an individual account. If you have one already please sign in.

Sign in.

Alternatively you can request an indvidual account here: