Testing the hypothesis that international equity market correlation increases in volatile times is a difficult exercise and misleading results have often been r

In Volatility and Correlation 2nd edition: The Perfect Hedger and the Fox, Rebonato looks at derivatives pricing from the angle of volatility and correlation. W

This timely volume addresses three important recent trends in the internationalization of United States equity markets: extensive market integration through for

A guide to the growing importance of extreme value risk theory, methods, and applications in the financial sector Presenting a uniquely accessible guide, Extrem