Modelling stochastic correlation
نویسندگان
چکیده
منابع مشابه
Modelling stochastic correlation
This work deals with the stochastic modelling of correlation in finance. It is well known that the correlation between financial products, financial institutions, e.g., plays an essential role in pricing and evaluation of financial derivatives. Using simply a constant or deterministic correlation may lead to correlation risk, since market observations give evidence that the correlation is hardl...
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ژورنال
عنوان ژورنال: Journal of Mathematics in Industry
سال: 2016
ISSN: 2190-5983
DOI: 10.1186/s13362-016-0018-4