Most investment banks utilise a Gaussian copula to price multi-asset exotic European-style payouts. For more involved payouts, a multi-asset version of Dupire’s local volatility model has become the ...

As global financial markets become increasingly interconnected, accurately modelling correlations between assets is essential. Traditional models often assume static correlations, which fail to ...

The correlations between the counts are modeled as , (exchangeable correlations). For comparison, the correlations are also modeled as independent (identity correlation matrix). In this model, the ...

Multi-asset equity derivatives are always very popular alternatives to single-stock ones for the extra squeeze in price that they bring, as, generally speaking, the multiasset options are cheaper. The ...

Adam Hayes, Ph.D., CFA, is a financial writer with 15+ years Wall Street experience as a derivatives trader. Besides his extensive derivative trading expertise, Adam is an expert in economics and ...

Leslie Kramer is a writer for Institutional Investor, correspondent for CNBC, journalist for Investopedia, and managing editor for Markets Group. Correlation measures the linear relationship between ...