We show that FX correlation swap prices show a rich and non-trivial dependency on often overlooked higher order parameters such as the correlations between the FX variances. As a consequence, missing reliable information to calibrate these quantities may result in a non-negligible uncertainty in...

We present a hybrid Heston local correlation model for pricing multi-dimensional FX derivatives. The model is symmetric under inversion and triangulation and yields prices that are consistent with the one-dimensional vanilla markets of both main and cross FX rates. Irrespective of the choice of...

We investigate typical equity worst-of autocallable structures within industry-standard multi-dimensional stochastic local volatility models. Introducing the corresponding e ffective local volatility models we show how the correlations between the stochastic variances play a central role in...