This paper presents a new modeling approach for credit quanto spreads, covering credit default swap quanto spreads, bond quanto spreads and bond redenomination spreads. Credit quanto spreads are implied from a hazard rate diffusion model and a FX rate jump diffusion model, where the jumps are...

We study the impact of the FX skew on quanto convexity adjustments. Using a double shifted lognormal model allows an easy calibration to the skews as well as expressing the FX skew impact analytically for quanto forwards. We conclude that under non stressed market conditions (σ^2 T≪1) the...

This paper evaluates the forecasting accuracy of correlation derived from implied volatilities in dollar-mark, dollar-yen, and mark-yen options from January 1989 to May 1995. As a forecast of realized correlation between the dollar-mark and dollar-yen, implied correlation is compared against...

This paper evaluates the forecasting accuracy of correlation derived from implied volatilities in dollar-mark, dollar-yen, and mark-yen options from January 1989 to May 1995. As a forecast of realized correlation between the dollar-mark and dollar-yen, implied correlation is compared against...