As soon as you will get into pretty complex derivatives, for example, you will need to generate correlated assets for pricing purposes. Example of such derivatives can be: Basket options Rainbox options Moutain ranges (created by Société Générale) The most complex amongst these derivatives cannot be priced using closed form formulae, Monte Carlo simulations are … Continue reading How to Generate Correlated Assets and Why?
In this short article, I will try to explain the relationship between commodity prices and both dollar. We typically see a negative correlation between them, why is that and is this always true? Relationship between commodity prices and dollar As I just said, there is a relationship between commodity prices and the dollar. It means … Continue reading Relationship between Commodity Prices and the Dollar