A note on adjusting correlation matrices

DOI10.1080/13504860210136721MaRDI QIDQ4551200zbMATH OpenOpenAlexFDO

Authors Umberto Cherubini, Elisa Luciano

Publication date 5 September 2002

Published in Applied Mathematical Finance (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1080/13504860210136721

zbMATH Keywords

applicationscopula functionspricing kernelbivariate option pricing

Mathematics Subject Classification ID

Derivative securities (option pricing, hedging, etc.) (91G20)

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Cites work

• Simultaneous equations models in applied search theory

Cited in

(26)

• Copula-GARCH-MMBP based Monte Carlo option pricing method
• Testing the bivariate distribution of daily equity returns using copulas. An application to the Spanish stock market
• A new methodology to create valid time-dependent correlation matrices via isospectral flows
• Marginal and dependence uncertainty: bounds, optimal transport, and sharpness
• Dependence structure of conditional Archimedean copulas
• Option pricing with bivariate risk-neutral density via copula and heteroscedastic model: a Bayesian approach
• On a one time-step Monte Carlo simulation approach of the SABR model: application to European options
• Multivariate option pricing using copulae
• A mixed C-vine copula model for hedging price and volumetric risk in wind power trading
• Some bivariate options pricing in a regime-switching stochastic volatility jump-diffusion model with stochastic intensity, stochastic interest and dependent jump
• Multi-name assets exchange option pricing simulation based on pair-copulas
• The dependence structure of running maxima and minima: results and option pricing applications
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• New Families of Copulas Based on Periodic Functions
• Transmission valuation analysis based on real options with price spikes
• Digital option pricing based on copulas with stochastic simulation
• A simple model of deferred callability in defaultable debt
• Improved Fréchet bounds and model-free pricing of multi-asset options
• A copula-based Markov reward approach to the credit spread in the European Union
• scientific article; zbMATH DE number 5631233 (Why is no real title available?)
• Estimation of copula-based semiparametric time series models
• Valuing Bermudan options when asset returns are Lévy processes
• Pricing multivariate European equity option using Gaussians mixture distributions and EVT-based copulas
• Testing the Gaussian copula hypothesis for financial assets dependences
• Pricing bivariate option under GARCH processes with time-varying copula
• Dual volatility and dependence parameters and the copula

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