Correlation Swap

bringiton · December 13th, 2005, 2:56 pm

Trying to model a correlation swap using a replicating strategy of multiple variance swaps. Looking at a simple example with two underlyings how does one go about modeling this? Is forward correlation a factor in this case? If I'm breaking the structure down into its components and computing forward volatility does this necessarily imply a forward correlation? What added subtleties does the modeler need to keep in mind when moving to a correlation swap with 10 underlyings? Any insights would be greatly appreciated.

phaedo · December 14th, 2005, 9:59 am

I published a report on that subject in June ("Arbitrage pricing of equity index correlation swaps", JPMorgan Equity Derivatives report)If you have trouble getting a copy from JP I can send you a paper version (PM me with your mail address)I will also present the main results at the 2006 ICBI Global Derivatives Trading & Risk Management conference in MaySB

ljcao · January 10th, 2006, 1:21 am

Hi, phaedoCould you pls. pass me the paper? I have sent my email address to you in your private message. Thanks in advance.

NicoLondon · February 1st, 2007, 2:27 pm

I would be interested as well if you could send it to me ;-)Many thanks !Nicolas

phaedo · February 1st, 2007, 5:00 pm

Thanks for your interest. I am finalising an updated report at the moment. I will present the results (including new findings with parameter estimates) at Derman's Financial Engineering Practitioners Seminar at Columbia (Feb 26)SB

kokoon · February 2nd, 2007, 10:53 am

PhaedoI would be interested in your paper. I have already sent a private message with my email address.Thanks in advance.Kokoon

sweiner · February 22nd, 2007, 9:26 pm

Could I ask for a copy of this paper by Phaedo?

vulk · February 26th, 2007, 6:31 pm

Hi Phaedo, can I ask a copy as well?My mail is vulkannibal@hotmail.comThx a lot

JPTom · February 28th, 2007, 2:22 am

Dear Mr. Phaedo,Could you please send your paper "Arbitrage pricing of equity index correlation swaps"?I'm very interested in it. My mail is yahharn@yahoo.co.jp. I'd appreciate it.#I'm afraid whether you're looking at this comment or not..

Randomness · February 28th, 2007, 8:52 pm

me too ani.banerjee@gmail.com

Mosi · March 1st, 2007, 11:58 am

another interested reader: TMoosbrucker@web.dethank you!

Joshua2004 · March 1st, 2007, 6:58 pm

me three xzzh@yahoo.com

betard · March 1st, 2007, 8:22 pm

hello phaedo could you send me a copy of your paper on "index correl swaps" please? to chbet.info@yahoo.frthanks very much

NicoLondon · March 14th, 2007, 12:22 pm

HelloDid anyone by chance receive Phaedo's paper ? ;-)ThanksNicolas

avix · March 14th, 2007, 1:52 pm

Can anyone send me the paper to AvixPMThanx