FX currency correlation
Posted: October 25th, 2006, 5:29 am
I am not denying the existence of a possible mathematical arbitrage.I am however asserting the severe unlikelihood of such an arbitrage in real life. I have been looking at this for 15 years, and so have many others. In fact, this kind of correlation without incorporating correlation smiles is rather trivial. Almost everyone who does FX options, is aware of it. Almost like any bond trader worth his salt is aware that a zero coupon bond carries convexity.
