We propose a reduced-form eSIRD model to operationalize the country-specific Basic Reproduction Number and Mortality Rate for the COVID-19 pandemic. Enhanced from the classical epidemiological structural SIR model, our model has several contributions: 1) Allowing the effective Basic Reproduction...

We propose a simple but rigorous stochastic volatility – stochastic correlation model, formulated as a pair of correlated CIRCEV and Jacobi processes. Our model proves to fit both marginal and joint distributions of implied volatility and correlation. When risk factors estimated from...

A thorough guide to correlation risk and its growing importance in global financial markets Ideal for anyone studying for CFA, PRMIA, CAIA, or other certifications, Correlation Risk Modeling and Management is the first rigorous guide to the topic of correlation risk. A relatively overlooked type...