SDE for stochastic correlation, consistent with wishart

fmpro · March 31st, 2010, 8:35 am

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?

elio · April 15th, 2011, 1:53 pm

Appendix B in Buraschi A, Porchia P, Trojani F, Correlation Risk and Optimal Portfolio Choice, J FINANCE, 2010, Vol:65www.hec.unil.ch/documents/sem_ibf/Porchia.pdf