<t>Hisince long a (T1,T2) FVA (i.e. a forward starting option whoTse strike fixes at future time point T1>T0 & which expires at T2>T1) means being long an Option with Tenor (T0,T2) and short an Option (T0,T1), this trade leaves the holder short the T1 vol & long T2 vol.My question is: does a...

Hi does anyone have any ideas/papers/experience on how to most effecitively hedge FVAs (FX or in general)?Many thanks in advance!

<t>HiI guess most of those who read this thread will be familiar with derman's static replication of a variance swap. However, this replication only works smoothly for variance swaps that payout in the numeraire (accounting) currencies (e.g. jpy for a usdjpy variance swap) - for e.g. a self-quantoed...

<t>HiI guess this question has been posted several times before, yet I would be very grateful for any fedback.Everytime I price FX (path-dependent) exotics, I ponder which model I should use: LN, LV,or SV (the latter one being essentially a mixed LV SV model in my firm).I have read that the LV model...

<t>Hi, I was wondering whether you may have some reading suggestions regarding trading & hedging of exotic options, apart from the "standard" textbooks by Taleb, Natenberg etc. Also, if anyone happens to have a pdf copy of the article "Trading & Hedging Options" by S.K. Kang (2001), it would...