Dispersion trading and correlation modelling

– Volatility Modelling (+coding)

  • Variance pitfals
  • Esponential smoothing
  • GARCH and Leverage effect
  • Realized variance

– Correlation Modelling (+coding)

  • Value at risk and the needs of covariance
  • Cluster analysis
  • Modelling Conditional covariance and correlation
  • Monte Carlo Analysis with different covariance matrixes
  • Implied volatility arbitrage and the case of dispersion trading
  • Correlation risk and hedge fund returns

Posted February 07, 2015 in: by manuele

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