Modelling and calibration of stochastic correlation in finance

DOI10.1007/978-3-319-61282-9_6MaRDI QIDQ4626495zbMATH OpenOpenAlexFDO

Authors

Publication date 28 February 2019

Published in Novel Methods in Computational Finance (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1007/978-3-319-61282-9_6

zbMATH Keywords

Quanto option pricingstochastic correlation

Mathematics Subject Classification ID

Applications of stochastic analysis (to PDEs, etc.) (60H30) Derivative securities (option pricing, hedging, etc.) (91G20)

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Cites work

• A novel pricing method for European options based on Fourier-cosine series expansions
• A versatile approach for stochastic correlation using hyperbolic functions
• An introduction to copulas.
• Bilateral counterparty risk valuation of CDS contracts with simultaneous defaults
• Counterparty risk for credit default swaps: impact of spread volatility and default correlation
• scientific article; zbMATH DE number 1082208 (Why is no real title available?)
• scientific article; zbMATH DE number 2231189 (Why is no real title available?)
• On the Heston model with stochastic correlation
• Paul Wilmott on quantitative finance. 3 Vols. With CD-ROM
• Quanto pricing in stochastic correlation models
• Stochastic Volatility With an Ornstein–Uhlenbeck Process: An Extension
• The Fokker-Planck equation. Methods of solution and applications.
• The Wishart autoregressive process of multivariate stochastic volatility

Cited in

(12)

• Deep calibration of financial models: turning theory into practice
• Modelling joint behaviour of asset prices using stochastic correlation
• Comparison of stochastic correlation models
• A versatile approach for stochastic correlation using hyperbolic functions
• On the Heston model with stochastic correlation
• Calibration of financial models using quasi-Monte Carlo
• A square root process for modelling correlation.
• The pricing of Quanto options under dynamic correlation
• Quanto pricing in stochastic correlation models
• Stochastic correlation and volatility mean-reversion -- empirical motivation and derivatives pricing via perturbation theory
• Capturing the Correlations of Fixed-income Instruments
• Pricing a guaranteed annuity option under a stochastic correlation setting

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Uses Software

• QRM

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