Worst-of options
ETF surge shows ‘worst-of’ autocalls have life in them yet
Assets in older structures have caught up with vol target versions that looked set to dominate
Correlation skew via stochastic correlation and jumps
Valer Zetocha introduces a correlation model based on the Jacobi process with jumps
JP Morgan worst-of structure straddles gold miners ETF and Russell 2000
The best of the worst-of
Trade of the month: Correlation
Trade of the month: Correlation