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Summary: 1
Weighted Monte-Carlo Methods
for Multi-Asset Equity Derivatives:
Theory and Practice
Marco Avellaneda
Courant Institute of Mathematical
Sciences
New York University
Summary
Statement of the Calibration Problem for Multi-Asset
Equity Derivatives
Weighted Monte Carlo simulation (max-entropy)
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 Multi-Asset
Equity Derivatives
Given a group, or collection of stocks, build a stochastic model for the joint
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