 
Summary: 1
Weighted MonteCarlo Methods
for MultiAsset Equity Derivatives:
Theory and Practice
Marco Avellaneda
Courant Institute of Mathematical
Sciences
New York University
Summary
Statement of the Calibration Problem for MultiAsset
Equity Derivatives
Weighted Monte Carlo simulation (maxentropy)
Application to Arbitrage Pricing of Basket Options
Comparison between WMC and Steepest Descent Method
Comments on Correlation Skew and the statistics of
Implied and Historical Correlations
2
Calibration Problem for MultiAsset
Equity Derivatives
Given a group, or collection of stocks, build a stochastic model for the joint
