The issue isn't well described in Rebonatos book. However there is a thesis out there which tells you how it works. You can obtain the Vol/Vol correlations from fitting Swap or CMS dynamics in your SABRLMM.

<t>You where right with[$] dW^VdW^q= \rho dt [$]I know that I don't have any jump compensation in the drift of the dynamics of [$]q_t[$] and this is done - sofar - on purpose. I'am looking on a SVVJ model, but the stock does not matter for my problem. Therefore I didn't mention it. As you have obser...

<t>Hello, currently I'm working on a stochastic volatility model with jumps. The dynamics are the following:[$] dV_t = \kappa_V (\bar{V} - V_t) dt + \sigma_V \sqrt{q_t} dW^V_t[$][$] dq_t = \kappa_q (\bar{q} - q_t) dt + \sigma_q \sqrt{q_t} dW^q_t + Z_q dN^q_t[$],where [$]dW^VdW^q = \rho [$], Z_q is a...

<r>Hello,I'm not sure how I obtain the price of a straddle with strike K when I know its quoted implied volatility.I assume that I just have to use the formula one can find in <URL url="http://themathpath.com/documents/quantitative_finance_themathpath.pdfat"><LINK_TEXT text="http://themathpath.com/d...