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Document type:
Zeitschriftenaufsatz 
Author(s):
Escobar, M.; Götz, B.; Neykova, D.; Zagst, R. 
Non-TUM Co-author(s):
ja 
Cooperation:
international 
Title:
Stochastic Correlation and Volatility Mean-reversion - Empirical Motivation and Derivatives Pricing via Perturbation Theory 
Abstract:
The dependence structure is crucial when modeling several assets simultaneously. We show for a real-data example that the correlation structure between assets is not constant over time but rather changes stochastically, and we propose a multidimensional asset model which fits the patterns found in the empirical data. The model is applied to price multi-asset derivatives by means of perturbation theory. It turns out that the leading term of the approximation corresponds to the Black-Scholes deriv...    »
 
Keywords:
multivariate asset price model, stochastic correlation, perturbation theory, derivatives pricing 
Intellectual Contribution:
Discipline-based Research 
Journal title:
Applied Mathematical Finance 
Journal listet in FT50 ranking:
nein 
Year:
2014 
Journal volume:
21 
Journal issue:
Pages contribution:
555-594 
Reviewed:
ja 
Language:
en 
Status:
Preprint / submitted 
TUM Institution:
Lehrstuhl für Finanzmathematik 
Format:
Text 
Key publication:
Nein 
Peer reviewed:
Ja 
International:
Ja 
Book review:
Nein 
Commissioned:
not commissioned 
Professional Journal:
Ja 
Mission statement:
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