A versatile approach for stochastic correlation using hyperbolic functions

DOI10.1080/00207160.2014.1002779zbMath1335.91110OpenAlexW2137423618MaRDI QIDQ2804910

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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

Fokker-Planck equationhyperbolic functionsstochastic processOrnstein-Uhlenbeck processcorrelation riskstochastic correlationQuantostochastic correlation process

Mathematics Subject Classification ID

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

Related Items (9)

QUANTO PRICING IN STOCHASTIC CORRELATION MODELS ⋮ Asymmetry in stochastic volatility models with threshold and time-dependent correlation ⋮ A new methodology to create valid time-dependent correlation matrices via isospectral flows ⋮ Partial Differential Equation Pricing of Contingent Claims under Stochastic Correlation ⋮ The pricing of Quanto options under dynamic correlation ⋮ Modelling and Calibration of Stochastic Correlation in Finance ⋮ The Dynamic Correlation Model and Its Application to the Heston Model ⋮ A positive flux limited difference scheme for the uncertain correlation 2D Black-Scholes problem ⋮ ON THE HESTON MODEL WITH STOCHASTIC CORRELATION

Cites Work

• The pricing of Quanto options under dynamic correlation
• Interest rate models -- theory and practice. With smile, inflation and credit
• COUNTERPARTY RISK FOR CREDIT DEFAULT SWAPS: IMPACT OF SPREAD VOLATILITY AND DEFAULT CORRELATION
• Autoregressive Conditional Heteroscedasticity with Estimates of the Variance of United Kingdom Inflation
• Stochastic Volatility With an Ornstein–Uhlenbeck Process: An Extension
• BILATERAL COUNTERPARTY RISK VALUATION OF CDS CONTRACTS WITH SIMULTANEOUS DEFAULTS
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