<t>Many thank Aaron, Rutger and richg - I think my understanding of this is improving.Aaron, I guess there are many ideas out there about combining correlation and cointegration whilst keeping the appropriate matrix positive semi-definate. Can you suggest any reading that might be useful?richg, coul...

<t>Hi,I have noticed in general that the correlation of the daily returns is used when analysing more than one underlying. Is there a reason this is done rather than using the correlation of the underlying prices?Say the correlation of returns over the last three years for BP and Shell is 84.7% howe...

Was this the one. - I had the same problem.Would you mind if I asked what the subject of your paper's going to be? I'm working quite closely with these products and would be intersted on any findings.

<t>Hi Mela,Is it right to think that you have two problems to solve? The first is a question of the data and its suitability for the correlations that you are looking at. The second is to find a method of optimisation to find the correlation matrix you want.Do you have access to Xenomorph?johndcb </t>

My mistake - I realise its a constant. I am trying to find the correct parameters for the model but vol-of-vol and the skew vega parameters seem to be inversely proportional. I was trying to find a reason. How do the vol-of-vol and skew parameters effect the skew and smile?

Is the vol-of-vol in the Heston model lognormal?Thanksjohndcb

Sorry what I wrote earlier is resembling tripe.I was thinking along the lines of( [AssetA price before execution - AssetA execution price]*QuantityA + [AssetB price before execution - AssetB execution price]*QuantityB )/ timetaken for execution

<t>If liquidity is the ability to change investment from one asset to another then may be a measure could be;SQRT( ( [AssetA price before execution - AssetA execution price]*QuantityA * [AssetB price before execution - AssetB execution price]*QuantityB ))/ timetaken for execution where[AssetA execut...

<t>Hi,I originally studied engineering and after a stint trading in a hedge fund have been controlling structured products for about a year. However I want to get into the structuring side and have realised that that I am disadvataged with my ignorance of any European languages.My solution was to do...