Catálogo de publicaciones - libros
Título de Acceso Abierto
Innovations in Derivatives Markets
Kathrin Glau ; Zorana Grbac ; Matthias Scherer ; Rudi Zagst (eds.)
Resumen/Descripción – provisto por la editorial
No disponible.
Palabras clave – provistas por la editorial
Quantitative Finance; Banking; Statistics for Business/Economics/Mathematical Finance/Insurance; Mathematical Modeling and Industrial Mathematics; Probability Theory and Stochastic Processes; Financial Engineering
Disponibilidad
| Institución detectada | Año de publicación | Navegá | Descargá | Solicitá |
|---|---|---|---|---|
| No requiere | 2016 | SpringerLink |
|
Información
Tipo de recurso:
libros
ISBN impreso
978-3-319-33445-5
ISBN electrónico
978-3-319-33446-2
Editor responsable
Springer Nature
País de edición
Reino Unido
Fecha de publicación
2016
Información sobre derechos de publicación
© The Editor(s) (if applicable) and The Author(s) 2016
Cobertura temática
Tabla de contenidos
The Dynamic Correlation Model and Its Application to the Heston Model
L. Teng; M. Ehrhardt; M. Günther
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 between, e.g., financial products and financial institutions. However, usually for simplicity the correlation coefficient is assumed to be a constant in many models, although financial quantities are correlated in a strongly nonlinear way in the real market. This work provides a new time-dependent correlation function, which can be easily used to construct dynamically (time-dependent) correlated Brownian motions and flexibly incorporated in many financial models. The aim of using our time-dependent correlation function is to reasonably choose additional parameters to increase the fitting quality on the one hand, but also add an economic concept on the other hand. As examples, we illustrate the applications of dynamic correlation in the Heston model. From our numerical results we conclude that the Heston model extended by incorporating time-dependent correlations can provide a better volatility smile than the pure Heston model.
Part III - Financial Engineering | Pp. 437-449