Local correlation
Copulas find new role in derivatives pricing
Pricing model for exotic options revives poster child of 2008 credit crisis
What causes forex correlation swaps to be mispriced?
UBS quants show prices can differ by up to 25 correlation points if products modelled accurately
Calibration of local correlation models to basket smiles
The authors build a whole family of local correlation models by combining the particle method with a new, simple idea.
Cross-dependent volatility
Julien Guyon introduces cross-dependent volatility models and calibrate them to market smiles
Local correlation families
Local correlation families