More Correlation articles
Applied risk management series – article two
Repricing the cross smile: an analytic joint density
Gaussian copula models are often used in the industry when single-asset information is quoted but little is known about their joint relation. These models may arise from correlated stochastic Browni...
Risk awards 2012
Perturbed Gaussian copula: introducing the skew effect in co-dependence
Equilibrium models do not represent real markets and need to be replaced with models that take explicit account of real capital flows, says Alex Langnau
Volatility of volatility spike drives options liquidity squeeze
In response to industry fears of a collateral crunch, regulators have revised the proposed rules on margining for uncleared over-the-counter (OTC) derivatives.You can find out more by downloading this white paper here.