Convexity And Correlation Effects in Swap Pricing
Presentation for Risk Magazine Swap Training Course, September 1997. Discusses some simple approaches to modeling products that incorporate correlation, such as yield curve spread options. Focus on using the simplest model which solves the problem and on hedging and managing risks.
Originally presented September 1997 and available as a .pdf here on the Close Mountain site.
About Thomas Coleman
Thomas S. Coleman is Senior Advisor at the Becker Friedman Institute for Research in Economics and Adjunct Professor of Finance at the Booth School of Business at the University of Chicago. Prior to returning to academia, Mr. Coleman worked in the finance industry for more than twenty years with considerable experience in trading, risk management, and quantitative modeling. Mr. Coleman earned a PhD in economics from the University of Chicago and a BA in physics from Harvard College.
This entry was posted in Conferences
, Valuation and Modeling
. Bookmark the permalink