models with time varying volatility. In this paper we consider models of this class and examine their potential when it comes … options on the minimum of two indices. Our results show that not only is correlation important for these options but so is … allowing this correlation to be dynamic. Moreover, we show that for the general model exposure to correlation risk carries an …

We formulate a bivariate stochastic volatility jump-diffusion model with correlated jumps and volatilities. An MCMC … stock (PX index) returns. Four bivariate models with and without jumps and/or stochastic volatility are compared using the … deviance information criterion (DIC) confirming importance of incorporation of jumps and stochastic volatility into the model …

this method to equity and index options shows that, while multivariate diffusion models with constant correlation fail to … correlation patterns compatible with observed prices of index options. Our method allows, as a by product, to quantify this model …

pricing options in this framework. Our application confirms the importance of allowing for dynamic correlation, and it shows … that accommodating correlation risk and modeling non-Gaussian features with multivariate mixtures of normals substantially …

systematically with the volatility of stock returns. We allow for correlation between stock returns and their volatility (so …

We construct multi-currency models with stochastic volatility and correlated stochastic interest rates with a full … interest rate by a stochastic volatility displaced-diffusion Libor Market Model [AA02], which can model an interest rate smile …

In this article we define a multi-factor equity-interest rate hybrid model with non-zero correlation between the stock … simulation scheme and investigate hedging in the presence of non-zero correlation between the processes from different asset …

We present a new generic method for constructing correlation parameterizations that are always positive definite, and … calibrate a stochastic volatility LMM to caplets, swaptions and CMS spread options, and in this way extract the implied … correlation information available from the market.We investigate the performance of several correlation parameterizations and …

Crude Oil futures and options contracts, such as the Samuelson volatility effect and the volatility smile. We calculate the … futures, and we observe a phenomenon we call the Samuelson correlation effect …