-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 …

existence of correlation term structure and correlation skew. The article shows that the Wishart specification can generate … different patterns corresponding to the correlation skew for a wide range of correlation term structures.Another advantage of … correlation premium and show that the consideration of stochastic correlation is a key element for the valuation of these …

The correlation after the subprime crisis 2007 became a major parameter. Most part of the time estimate historically … correlation are not calibrated or very difficult to implied. In this paper we propose an analitical approximation for the Heston … Correlation Matrice. The methodology can be extended to other Multi Factor Multi Asset Model …

marginal tree moments up to order two against the Heston model ones. The correlation between the driving Brownian motions is … the match between tree and model correlation. In some nodes, we are even able to further match moments of higher order …