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 have presented two simple methods to produce a feasible (i.e. real, symmetric, and positivesemidefinite) correlation matrix when the econometric one is either noisy, unavailable, or inappropriate. The first method is to the knowledge of the authors more general than any of the approaches...