A financial derivative that allows an investor to speculate on the correlation of underlying securities. Correlation swaps protect against the risk that the components in a basket of investments will not have the desired correlation.
Related information about correlation swap:
- Correlation swap - Wikipedia, the free encyclopedia
A correlation swap is an over-the-counter financial derivative that allows one to speculate on or hedge risks associated with the observed average correlation, ...
- Correlation Swap - Wiley Online Library
May 15, 2010 ... A correlation swap is a type of exotic derivative security that pays off the observed statistical correlation between the returns of several ...
- T - University of Chicago
find that the fair strike of a correlation swap is approximately equal to a particular .... In this report, we show how a correlation swap on an equity index can be ...
- What is correlation swap? definition and meaning
Definition of correlation swap: A financial derivative that allows an investor to speculate on the correlation of underlying securities. Correlation swaps protect ...
- What Is a Correlation Swap?
A correlation swap is a particularly complicated form of financial derivative that is not based directly on the price of an underlying asset. Instead it is based on the ...
- Correlation in practice. Simon Acomb - Nag
A correlation swap is an OTC product which has a payoff given by. Gives a direct way of trading correlation. • Difficult to hedge product. • Does it really give the ...
- Correlated trades « mathbabe
Nov 30, 2011 ... I learned from +Constantine Costes via +Cathy O'Neil 's blog that there's a trade called a “correlation swap” where you can make a bet on the ...
- Analysis and Development Of Correlation Arbitrage Strategies on ...
correlation of a dispersion trade is above (empirically, 10 points) the strike of the equivalent correlation swap. Thus, taking these two products and taking ...