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A Note on Correlation in Stochastic Volatility Term Structure Models
註釋We present a simple methodology to guarantee that the total correlation structure in a Term Structure Model with one stochastic volatility factor remains positive semidefinite. We design the parameterization with the purpose of keeping as much freedom as possible for the correlation of interest rates and stochastic volatility, while letting the correlation among forward rates reproduce approximately the tendencies usually considered desirable in the market.