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by fmpro
March 31st, 2010, 8:35 am
Forum: General Forum
Topic: SDE for stochastic correlation, consistent with wishart
Replies: 1
Views: 32105

SDE for stochastic correlation, consistent with wishart

I'm currently dealing with stochastic correlation modelling in equity markets, based on a Wishart affine model for variance-covariance matrix (Bru). how to retrieve a Stochastic differential equation for correlation, consistently with the Wishart model?