Advanced Guidance to Excelling in the FX Market Once you have a textbook understanding
of money market and foreign exchange products, turn to FX Options and Structured …

An increase in a country's sovereign risk, as measured by credit default swap spreads, is
accompanied by a contemporaneous depreciation of its currency and an increase of its …

The foreign exchange options market is one of the largest and most liquid OTC derivative
markets in the world. Surprisingly, very little is known in the academic literature about the …

This study shows that the option market can ex ante detect and quantify the effects of
political event risk. Focussing on the 2016 UK referendum on EU membership, we find that …

Exponential Lévy processes can be used to model the evolution of various financial
variables such as FX rates, stock prices, and so on. Considerable efforts have been devoted …

We introduce a novel multi-factor Heston-based stochastic volatility model, which is able to
reproduce consistently typical multi-dimensional FX vanilla markets, while retaining the …

Over 90% of exchange trading on crypto options has always been on the Deribit platform.
This centralized crypto exchange only lists inverse products because they do not accept fiat …

We estimate the risk‐neutral break probabilities of a realignment of the EUR/CHF 1.20 floor,
maintained by the SNB from September 6, 2011, to January 15, 2015, using put options and …

This paper studies the implied volatility (IV) smirks in four commodity markets by adopting
Zhang and Xiang's methodology. First, we document the term structure and dynamics of IV …

We identify a comprehensive list of thirty-eight characteristics for predicting cross-sectional
FX options returns. We find that three factors—long-term straddle momentum, implied …