In this paper we try and complete the analysis conducted in Castagna (2012) by investigating the valuation of collateralized derivative contracts when more than one currency are involved. This can happen for three reasons:1. The contract's pay-off is denominated in some currency YYY but...

We analyse the pricing of derivatives under a CSA agreement, without considering netting, minimum transfer amounts and thresholds. We come up with a decomposition of the total contract's value in a risk-free component, a liquidity value adjustment and a funding value adjustment. Implications for...

The search for derivative contracts with complex features can also be explained as the market's attempt to elude the restrictions imposed by the law on money loans. This is an undesirable effect of anti-usury rules. It can be added to the one mentioned by Montesquieu and Adam Smith, who pointed...