The purpose of this chapter is threefold: first, I intend to explain the fundamental difference between the treatment of volatilities and correlations in the case of equities and FX on the one hand, and of interest rates on the other.
An edition of Volatility and Correlation
(1999)
Volatility and Correlation
The Perfect Hedger and the Fox (Wiley Finance)
by Riccardo Rebonato
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Volatility and Correlation: The Perfect Hedger and the Fox (Wiley Finance)
September 20, 2004, Wiley, J. Wiley
in English
0470091398 9780470091395
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Volatility and Correlation: In the Pricing of Equity, FX and Interest-Rate Options (Wiley Series in Financial Engineering)
December 27, 1999, John Wiley & Sons
in English
0471899984 9780471899983
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