Fartingale
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Hello guys,
I am new to this blog. I would like to understand the basics of correlation swaps in equity :smart:
I would like to write something like Correlation Swap for dummies. A review of the basic mathematical tools and hedging strategies to deal with this problem in a real trading floor. Once I would finish this task I will share it with the whole forum.
I have read the existing presentation on the web and I found them insufficient .
If you know of documents that could be useful please let me know.
If you know some of the next questions please write to me.
How liquid is the market?
Which model do you use to price the correlation swap (Driessen et al?)
How do you calculate the implied correlation?
Do you think is worth to calculate the spread between implied and realized correlation
as an stochastic variable?
If you have more question that u consider should be addressed please let me know.
your Fartingale friend.
I am new to this blog. I would like to understand the basics of correlation swaps in equity :smart:
I would like to write something like Correlation Swap for dummies. A review of the basic mathematical tools and hedging strategies to deal with this problem in a real trading floor. Once I would finish this task I will share it with the whole forum.
I have read the existing presentation on the web and I found them insufficient .
If you know of documents that could be useful please let me know.
If you know some of the next questions please write to me.
How liquid is the market?
Which model do you use to price the correlation swap (Driessen et al?)
How do you calculate the implied correlation?
Do you think is worth to calculate the spread between implied and realized correlation
as an stochastic variable?
If you have more question that u consider should be addressed please let me know.
your Fartingale friend.
