Simulating multiple correlated stochastic processes

Posted by Max-118 on
URL: http://quantlib.414.s1.nabble.com/Simulating-multiple-correlated-stochastic-processes-tp6488.html

Hi,

I am trying to simulate the price dynamics of 4 different assets given the correlation among them (assuming all asset returns follow geometric Brownian motion).

I have implemented the monte-carlo simulation using Quantlib classes, such as StochasticProcessArray, MultiPathGenerator, etc.

However, I am not so sure how the StochasticProcessArray implementation ensures the correlation among the 4 assets is guaranteed, given the input 4x4 correlation matrix is positive defintie. Could someone help explain this from a theoretical perspective? or point me to the related reference?

Thanks!

Best regards,
Max


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