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Second Generation Models: From Flat to Correlation Skew

Chapter
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Part of the Applied Quantitative Finance book series (AQF)

Abstract

In this chapter, we review some popular correlation skew models. We give a brief description of each model and discuss the advantages and limitations of each modelling framework.

References

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Copyright information

© The Author(s) 2017

Authors and Affiliations

  1. 1.LondonUK

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