We formulate a bivariate stochastic volatility jump-diffusion model with correlated jumps and volatilities. An MCMC … stock (PX index) returns. Four bivariate models with and without jumps and/or stochastic volatility are compared using the … deviance information criterion (DIC) confirming importance of incorporation of jumps and stochastic volatility into the model …

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 …