-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 …

In CDO pricing, the cross-correlation coefficients play a significant role as it is the sole parameter used. Criticisms … are levelled around two features of these correlation coefficients: a dependable data is not available to compute the … correlation coefficients between reference obligors; and the same coefficients are used across firms and over the entire life of …

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 …