correlation between the underlying assets and are usually priced assuming constant instantaneous correlations.This article … considers a multi-asset model based on Wishart processes that accounts for stochastic volatility and for stochastic correlations … depends crucially on the term structure of the correlation corresponding to the assets returns. Furthermore, the comparison of …

This article considers a multi-asset model based on Wishart processes that accounts for stochastic volatility and for … 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 …

smiles and correlation smiles. At first sight, the task seems formidable. However, by reformulating the problem, we can …

volatility and its curve resembles a smile, meaning that the introduction of jumps is quantified via a smile according to implied … volatility. In order to derive such an implied volatility smile, an iterative search procedure referred to as the Newton …-Raphson algorithm is proposed. Numerical experiments of both the in-house pricing formula and its implied volatility recursive algorithm …

, these expansions are not quite suitable for volatility or variance densities as they inherently assign positive mass to the …

along with the specification of (a) the initial density, and (b) the volatility structure of the density. The volatility …

volatility models. Our method is based on a novel application of the exponential measure change in Palmowski & Rolski (2002 … stochastic volatility models with non-zero correlations, namely the Heston (1993), 3/2, and a special case of the α …-Hypergeometric stochastic volatility models recently proposed by Da Fonseca & Martini (2016). Then, we combine our method with a stochastic time …