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...

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...