<t>I've read about this trick in quantlib's class for heston_process.The trick was to consider a process Y(t)= x(t) -rho/sigma * V(t) and Ito's rules.But It wasn't clear to me who was x(t) and the purpose...Is it simple the transformation to genarate two random numbers with correlation rho?Throw two...

Sorry, posted in the wrong forum...

Anyone can explain me it or give me some references? Thanks!

Anyone can explain me this trick or give me some references?

<t>Hi all,I'm working on Heston model. I need some information on Monte Carlo devolpment on multiassets Heston model.In an object logic, we just have the process for the single underlyings each one with specified correlation between price-vol.So one has to incorporate the correlation between two ass...

So...your suggestion is to come back to Black Scholes.....................I'm trying to model equities...

So, what do you suggest me to do for find my 4x4 matrix of correlation for Heston?

Infact I think that the best way is to imply correlations from some quoted prices...But I don't know where to find these prices ...Have you got any idea?

Ok, but what is mark?

Hi,I would like to know what it is the difference between mark to market and mark to model..Thanks for help!Pink

I've missed a lot of plurals ..........

<t>Exactly, for Heston I need a 4x4 matrix that specified the correlation between the Four Wiener process.My ideas is:1) I calibrate each asset separately on plain vanilla market price to find the 5 heston parameter's -> so I've got correletion between (S1,V1) e (S2, V2).2) following your idea I can...

Hi,How can on estimate correlation between1) asset returns2) cross asset returns and variance in Heston model for a basket (Monte Carlo)?What about using correlation swap? But, are there some price of reference?Thanks!