A versatile approach for stochastic correlation using hyperbolic functions

DOI10.1080/00207160.2014.1002779MaRDI QIDQ2804910zbMATH OpenOpenAlexFDO

Authors Long Teng, Cathrin Van Emmerich, Matthias Ehrhardt, Michael Günther

Publication date 6 May 2016

Published in International Journal of Computer Mathematics (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1080/00207160.2014.1002779

zbMATH Keywords

Ornstein-Uhlenbeck processFokker-Planck equationhyperbolic functionsstochastic processcorrelation riskstochastic correlationQuantostochastic correlation process

Mathematics Subject Classification ID

Derivative securities (option pricing, hedging, etc.) (91G20) Numerical methods (including Monte Carlo methods) (91G60) Numerical solutions to stochastic differential and integral equations (65C30)

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Cites work

• scientific article; zbMATH DE number 1250597 (Why is no real title available?)
• scientific article; zbMATH DE number 1082208 (Why is no real title available?)
• Autoregressive Conditional Heteroscedasticity with Estimates of the Variance of United Kingdom Inflation
• Bilateral counterparty risk valuation of CDS contracts with simultaneous defaults
• Counterparty risk for credit default swaps: impact of spread volatility and default correlation
• Interest rate models -- theory and practice. With smile, inflation and credit
• Paul Wilmott on quantitative finance. 3 Vols. With CD-ROM
• Stochastic Volatility With an Ornstein–Uhlenbeck Process: An Extension
• The pricing of Quanto options under dynamic correlation

Cited in

(11)

• Asymmetry in stochastic volatility models with threshold and time-dependent correlation
• A new methodology to create valid time-dependent correlation matrices via isospectral flows
• On the Heston model with stochastic correlation
• Comparison of stochastic correlation models
• Partial differential equation pricing of contingent claims under stochastic correlation
• A positive flux limited difference scheme for the uncertain correlation 2D Black-Scholes problem
• A square root process for modelling correlation.
• The dynamic correlation model and its application to the Heston model
• Modelling and calibration of stochastic correlation in finance
• Quanto pricing in stochastic correlation models
• The pricing of Quanto options under dynamic correlation

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