As global financial markets become increasingly interconnected, accurately modelling correlations between assets is essential. Traditional models often assume static correlations, which fail to ...
In this paper, the eigendecomposition of a Toeplitz matrix populated by an exponential function in order to model empirical correlations of US equity returns is investigated. The closed-form ...
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 ...
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