Most investment banks utilise a Gaussian copula to price multi-asset exotic European-style payouts. For more involved payouts, a multi-asset version of Dupire’s local volatility model has become the ...

Businesses that rely on correlation will be misled with increasing confidence. Businesses that master causation will navigate complexity with increasing clarity.

As global financial markets become increasingly interconnected, accurately modelling correlations between assets is essential. Traditional models often assume static correlations, which fail to ...

Multi-asset equity derivatives are always very popular alternatives to single-stock ones for the extra squeeze in price that they bring, as, generally speaking, the multiasset options are cheaper. The ...