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Technical paper

A dynamic model for correlation

Author: Alex Langnau

Source: Risk magazine | 29 Mar 2010

Categories: Equity Derivatives

Topics: Bruno Dupire, Asset correlation, Correlation, Gaussian model, Hedging, Implied volatility, Local volatility models, Quantitative analysis

Most investment banks utilise a Gaussian copula to price multi-asset exotic European-style payouts. For more involved payouts, a multi-asset version of...

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A dynamic model for correlation

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