The authors wish to thank Steffi Höse, Claudia Klüppelberg, Ludger Overbeck, Ursula Walther, and two anonymous referees for comments and discussions.
CORRELATION UNDER STRESS IN NORMAL VARIANCE MIXTURE MODELS
Article first published online: 18 FEB 2013
© 2013 Wiley Periodicals, Inc.
How to Cite
Kalkbrener, M. and Packham, N. (2013), CORRELATION UNDER STRESS IN NORMAL VARIANCE MIXTURE MODELS. Mathematical Finance. doi: 10.1111/mafi.12029
The views expressed in this paper are those of the authors and do not necessarily reflect the position of Deutsche Bank AG.
- Article first published online: 18 FEB 2013
- Manuscript received October 2010; final revision received October 2012.
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