Modelling correlation skew with simple arithmetic

This keynote address from the Global Quant Network 2021 details how to construct a simple and highly performant model to incorporate skew information and dependence structure between underlyings applicable to multiple asset classes, including equities, foreign exchange and interest rates. George Hong and Wassim Rekik of Credit Suisse explore how to value observed market instruments and target derivatives consistently, demonstrating accurate calibration, convergence and optimal speed.

  • LinkedIn  
  • Save this article
  • Print this page  

Only users who have a paid subscription or are part of a corporate subscription are able to print or copy content.

To access these options, along with all other subscription benefits, please contact [email protected] or view our subscription options here:

You are currently unable to copy this content. Please contact [email protected] to find out more.

You need to sign in to use this feature. If you don’t have a account, please register for a trial.

Sign in
You are currently on corporate access.

To use this feature you will need an individual account. If you have one already please sign in.

Sign in.

Alternatively you can request an individual account here: