This work deals with the stochastic modelling of correlation in finance. It is well known that
the correlation between financial products, financial institutions, eg, plays an essential role …

The degree of relationship between financial products and financial institutions, eg must be
considered for pricing and hedging. Usually, for financial products modeled with the …

Uncertainty is an important phenomenon in mine project evaluation. Recovery, grade,
commodity price, discount rate, and operating costs are highly uncertain variables. Given …

The Quanto option is a cash-settled, cross-currency derivative in which the underlying asset
has a payoff in one country, but the payoff is converted to another currency in which the …

Stochastic correlation models have become increasingly important in financial markets. In
order to be able to price vanilla options in stochastic volatility and correlation models, in this …

Correlation plays an essential role in many problems of finance and economics, such as
pricing financial products and hedging strategies, since it models the degree of relationship …

This paper considers a class of Levy process namely the variance gamma (VG) process to
offer a more realistic way to model the dynamics of the logarithm of stock prices. Then, we …

Annotation. One of the most important applications of the correlation function is establishing
a prediction model for stochastic process. Stationary property makes predicting the …

In many areas of finance and of risk management it is interesting to know how to specify time-
dependent correlation matrices. In this work we propose a new methodology to create valid …

We consider random vectors drawn from a multivariate normal distribution and compute the
sample statistics in the presence of stochastic correlations. For this purpose, we construct an …