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Fonseca, José da; Ziveyi, Jonathan - In: Scandinavian actuarial journal (2017) 3, pp. 209-230

Persistent link: https://www.econbiz.de/10011772102

Numerical simulation of the Heston Model under stochastic correlation

Teng, Long; Ehrhardt, Matthias; Günther, Michael - In: International Journal of Financial Studies : open … 6 (2018) 1, pp. 1-16

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 …

Persistent link: https://www.econbiz.de/10011848190

Optimal portfolios when variances and covariances can jump

Branger, Nicole; Muck, Matthias; Seifried, Frank Thomas; … - In: Journal of economic dynamics & control 85 (2017), pp. 59-89

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Stochastic covariance and dimension reduction in the pricing of basket options

Escobar, Marcos; Krause, Daniel; Zagst, Rudi - In: Review of derivatives research 19 (2016) 3, pp. 165-200

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Quanto pricing in stochastic correlation models

Teng, Long; Ehrhardt, Matthias; Günther, Michael - In: International journal of theoretical and applied finance 21 (2018) 5, pp. 1-20

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Pricing two-asset barrier options under stochastic correlation via perturbation

Escobar, Marcos; Götz, Barbara; Neykova, Daniela; … - In: International journal of theoretical and applied finance 18 (2015) 3, pp. 1-44

Persistent link: https://www.econbiz.de/10011403748

Masoliver, Jaume; Perelló, Josep - In: International journal of theoretical and applied finance 5 (2002) 5, pp. 541-562

Persistent link: https://www.econbiz.de/10001687146

Multiple time scales in volatility and leverage correlations : a stochastic volatility model

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Pricing CDOs with a smile : the local correlation model

Turc, Julien; Very, Philippe - In: Frontiers in quantitative finance : volatility and …, (pp. 235-250). 2009

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On cross-currency models with stochastic volatility and correlated interest rates

Grzelak, Lech A.; Oosterlee, Cornelis W. - In: Applied mathematical finance 19 (2012) 1/2, pp. 1-35

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