This article considers a multi-asset model based on Wishart processes that accounts for stochastic volatility and for stochastic correlations between the underlying assets, as well as between their volatilities. The model accounts for the existence of correlation term structure and correlation...

Multi-asset options exhibit sensitivity to the correlations between the underlying assets and these correlations are notoriously unstable. Moreover, some of these options such as the digital outperformance options, have a cross-gamma that changes sign depending on the relative evolution of the...

Outperformance options allow investors to benefit from a view on the relative performance of two underlying assets without taking any directional exposure to the evolution of the market. These structures exhibit high sensitivity to the correlation between the underlying assets and are usually...

Quanto and composite derivatives exhibit sensitivity to the volatilities of the underlying asset and the exchange rate, as well as to the correlation between the assets returns and their volatilities. This article considers a multiasset model based on Wishart processes that accounts for...