Multi-currency options
Total value adjustment in a multicurrency framework with stochastic exchange rates and mean-reversion spreads
The authors employ portfolio replication and dynamic hedging techniques to derive models for pricing financial derivatives in multicurrency markets and in the presence of counterparty credit risk.
Cutting edge introduction: Expanding collateral options
Two RBC quants propose a way to value CSAs with more than two currency posting options
Cooking with collateral
Cooking with collateral
BlackRock tries to renegotiate 'dirty CSAs'
Asset manager seeking to remove collateral optionality - and pricing divergence - from thousands of CSAs
Repricing the cross smile: an analytic joint density
Repricing the cross smile: an analytic joint density
The rise of multi-currency options
Adrian Campbell-Smith (RBS Currency Options Trading) and Ben Hamdani (RBS Currency Structuring) examine the realm of multi-currency options and explain some of the reasons behind their increasing popularity