Writing
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On FX Funding Requirements draft confidential
The matter of FX funding is analysed, first theoretically and then a solution to the problem is investigated. An analytical solution is first presented for the more general case, this is then followed by a Monte Carlo simulation carried out under specific constraints. The results are then compared to an alternative, purely linear, model to show how as the number of clients increases, the difference between the two becomes larger $\sim \sqrt{x}$. Further work is then proposed at the end to increase the generality of the problem.
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On Binary Options
We investigate the interesting case of binary options, looking at how defining the rebate in foreign or domestic terms changes the payoff when looking at it from the traditional, domestic point of view. We show how a binary option is not necessarily a step function when this change in perspective is implemented. We then apply this thinking to the case study of european knock-in/out options and see how they can be built and shown to be equivalent. Finally, we show the transformation needed to move between the two binary options.