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...

Empirical evidence shows that, in equity options markets, the slope of the skew is largely independent of the volatility level. Single-factor stochastic volatility models are not flexible enough to account for the stochastic behavior of the skew. On the other hand, multifactor stochastic...

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...

In recent years there has been a remarkable growth of volatility options. In particular, VIX options are among the most actively trading contracts at CBOE. These options exhibit upward sloping volatility skew and the shape of the skew is largely independent of the volatility level. To take into...

The empirical tests of traditional structural models of credit risk tend to indicate that such models have been unsuccessful in the modeling of credit spreads. To address these negative findings some authors introduce single-factor stochastic volatility specifications and/or jumps.In the yield...