Multi-currency options
Converting a covariance matrix from local currencies to a common currency
The authors put forward a simple means to translate a covariance matrix estimated in local currencies into a covariance matrix expressed in a common currency.
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