Modelling joint behaviour of asset prices using stochastic correlation

DOI10.1007/s11009-020-09838-2zbMath1475.91377OpenAlexW3102141873MaRDI QIDQ2241515

Ashish Kumar, László Márkus

Publication date: 9 November 2021

Published in: Methodology and Computing in Applied Probability (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1007/s11009-020-09838-2

zbMATH Keywords

tail dependenceHeston modelcorrelation riskstochastic correlationKendall functionstock price association

Mathematics Subject Classification ID

Applications of stochastic analysis (to PDEs, etc.) (60H30) Interest rates, asset pricing, etc. (stochastic models) (91G30)

Uses Software

• QRM

Cites Work

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• Estimating Heston's and Bates’ models parameters using Markov chain Monte Carlo simulation
• A Closed-Form Solution for Options with Stochastic Volatility with Applications to Bond and Currency Options
• Dependence measures for extreme value analyses

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