Equity basket correlation is an important risk factor. It characterizes the strength of linear dependence between … propose several hedging schemes based on implied correlation (IC) forecasts. Modeling IC is a challenging task both in terms … of computational burden and estimation error. First the number of correlation coefficients to be estimated would grow …

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 basket have increased. Recently, as the result of financial crisis …