Hello,
it seems that the correlation structure of the JointItoProcess model cannot accept a different structure from that of block diagonal across the single processes. I am dealing with joint Heston Processes and ideally I would like to introduce correlation within single spot price processes as well as correlation within single variance processes (and also correlation within variances and spot prices of different process). That is not possible with current release correct (I am just trying to understand is not really request)? Thanks
Hello, it seems that the correlation structure of the JointItoProcess model cannot accept a different structure from that of block diagonal across the single processes. I am dealing with joint Heston Processes and ideally I would like to introduce correlation within single spot price processes as well as correlation within single variance processes (and also correlation within variances and spot prices of different process). That is not possible with current release correct (I am just trying to understand is not really request)? Thanks