This paper investigates how the introduction of foreign exchange futures has an impact on spot volatility and considers … the contemporaneous and dynamic relationship between spot volatility and foreign exchange futures trading activity … decreases spot volatility. It also increases the rate at which new information is impounded into spot prices but decreases the …

We introduce an asymptotic expansion for forward start options in a multi-factor local-stochastic volatility model. We … derive explicit approximation formulas for the so-called forward implied volatility which can be useful to price complex path … generalized to a wider class of local-stochastic volatility models. We illustrate the effectiveness of the technique through some …