-Olkin credit correlation model. These formulas can be easily evaluated in terms of machine computational time, therefore they are … particularly suitable for the correlation model calibration. To compute the first pricing formula, we assume that the recovery rate …

Stochastic correlation models have become increasingly important in financial markets. In order to be able to price … vanilla options in stochastic volatility and correlation models, in this work, we study the extension of the Heston model by …

existence of correlation term structure and correlation skew. The article shows that the Wishart specification can generate … different patterns corresponding to the correlation skew for a wide range of correlation term structures.Another advantage of … correlation premium and show that the consideration of stochastic correlation is a key element for the valuation of these …

The correlation after the subprime crisis 2007 became a major parameter. Most part of the time estimate historically … correlation are not calibrated or very difficult to implied. In this paper we propose an analitical approximation for the Heston … Correlation Matrice. The methodology can be extended to other Multi Factor Multi Asset Model …

We propose a simple but rigorous stochastic volatility – stochastic correlation model, formulated as a pair of … correlation. When risk factors estimated from derivatives markets are accounted for, we show the model out-performance over GBM is …

exhibit stochastic correlation, with an emphasis on computation. We derive a multi-dimensional time-dependent PDE for the …