Serving the Quantitative Finance Community
Correlation swaps
Anyone know of any good papers to read on fx correlation swaps?In terms of intrinsic currency volatilities and triangulation of currency volatilities.Have seen this:Correlation SwapsAlso read some good things from the following book pg 215-245Foreign Exchange Option Pricing: A Practitioners Guide (The Wiley Finance Series) [Hardcover]Iain Clark (Author)but looking for more of a active market practitioners perspective.