The correlation is a big modelling problem, "One of the most interesting in the Equity World". In the last decade, correlation products became very popular and attractive. The demand for a number of exotic products like dispersion trades, worst of, rainbows, correlation swaps, corridor option on...

The correlation after the subprime crisis 2007 became a major parameter. Most part of the time estimate historically, this parameter was free to the user. In the case of Multi Asset Multi factor stochastic model, some instantaneous correlation are not calibrated or very difficult to implied. In...

During the first decades following Black and Scholes, the quantitative finance have been focus mainly on the modeling of the volatility. Indeed, the expansion of derivatives product brought some liquidity regarding this parameter. The implied volatility is the reflect of market convention for...