A square root process for modelling correlation.

zbMATH Open1196.91009MaRDI QIDQ3584103FDOQ3584103

Authors: Cathrin Van Emmerich 

Publication date: 19 August 2010

Full work available at URL: http://elpub.bib.uni-wuppertal.de/edocs/dokumente/fbc/mathematik/diss2007/emmerich/

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Mathematics Subject Classification ID

Research exposition (monographs, survey articles) pertaining to game theory, economics, and finance (91-02) Microeconomic theory (price theory and economic markets) (91B24)

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• The dynamic correlation model and its application to the Heston model
• Modelling and calibration of stochastic correlation in finance
• An ordinal pattern approach to detect and to model leverage effects and dependence structures between financial time series
• Quanto pricing in stochastic correlation models

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