a reflection of market opinion there wouldn't be the implied correlation smile that is observed in the market. The … purpose of this paper is to explain the structure of the smile by discussing the influence of different correlation matrices … on CDO spreads. - default risk ; CDOs ; implied correlation smile ; correlation matrx ; heterogeneity …

The goal of our paper is to show how correlation between convenience yield and commodity spot price must be and can be … (Casassus and Collin-Dufresne, 2005) and/or stochastic volatility (Nielsen and Schwartz, 2004; Richter and Sørensen, 2006 …; Koekebakker and Lien, 2004) in addition to stochastic correlation. Indeed, Cuchiero et al. (2011) derive necessary and sufficient …

driven by the same Brownian motion it is frequently assumed that the log correlation between these assets is perfect over an … arbitrary interval. Our paper proves that the log correlation over is not perfect and we calculate the correct correlation for … correlation can lead to significant erroneous results …

Geometric optimisation algorithms are developed that efficiently find the nearest low-rank correlation matrix. We show … nearest low-rank correlation matrix occurs as part of the calibration of multi-factor interest rate market models to … correlation. Keywords: geometric optimisation, correlation matrix, Rank, LIBOR market model …

value of the contract at the relevant default times. We allow for correlation between the default times of the investor and … counterparty, and for correlation of each with the underlying risk factor, namely interest rates. We also analyze the often … neglected impact of credit spread volatility. We include Netting in our examples, although other agreements such as Margining …

We propose a Multivariate Volatility Regulated Kelly strategy, which has extra penalization on variance compared to the …

arbitrage and liquidity influence each other in the world’s largest platinum futures markets on exchanges in New York and Tokyo …