production in different countries is deemed as one of the factors of the price spike in 2007/08, the contribution of correlation … of yield shocks to price volatility is measured. This paper shows that correlation effects account for a significant …

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 …