The dependence structure is crucial when modelling several assets simultaneously. We show for a real-data example that the correlation structure between assets is not constant over time but rather changes stochastically, and we propose a multidimensional asset model which fits the patterns found...

Single and double barrier options on more than one underlying with stochastic volatility are usually priced via Monte Carlo simulation due to the non-existence of closed-form solutions for their value. In this paper, for a special dependence structure, the prices of some two-asset barrier...

In this paper we develop a closed-form and thus computationally highly efficient formula to approximate the value of fixed-rate mortgage-backed securities (MBS). Our modelling framework is based on reduced-form and prepayment-risk-neutral valuation techniques and offers two major extensions...