How to Generate Correlated Assets and Why?

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?

Relationship between Commodity Prices and the Dollar

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