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
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.
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