volatilities and correlations among daily IVs from options on 28 large cap stocks. The data strong support a general correlation …

this method to equity and index options shows that, while multivariate diffusion models with constant correlation fail to … correlation patterns compatible with observed prices of index options. Our method allows, as a by product, to quantify this model …

market moves down or up. The risk premium for the down correlation is strongly negative, while the opposite is true for the … up correlation. These findings are consistent with the economic intuition that investors dislike the loss of … diversification when markets fall, but they actually prefer high correlation when markets rally …

dependent on variances and correlation. This extends the existing literature by explicitly modeling correlation dependent … covariance-dependent kernel is also shown to significantly impact prices of two-asset correlation options leading to up to 53 …

Ex ante (expected) average equity market correlation is linked to the differential correlation dynamics of growth and … existence of a homogeneous correlation among stocks with similar growth characteristics, depending on the prevailing … link to growth options and the value premium, implied correlation serves as a leading procyclical state variable. Value …

We present a new generic method for constructing correlation parameterizations that are always positive definite, and … correlation information available from the market.We investigate the performance of several correlation parameterizations and … compare the implied correlation matrices with the corresponding empirical correlation matrices …

can allow. Indeed, using a 40% recovery assumption and 100% default correlation gives a spread of 39bp on the 5Y [30 …

issues involves the construction of the global correlation matrix. Typically correlation matrices for each assets' degrees of … freedom are set and the challenge is to build a global correlation matrix which at least recovers these individual correlation … general methodology for constructing such correlation matrices that uses few parameters, is based on correlations of physical …

build a parameterization of the correlation matrix of a multidimensional model with stochastic volatility, given that:1. The … correlation between each asset and its volatility is specified.2. The correlations between different assets are specified.In the …