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Salvaging a Linear Correlation Matrix 1.0
File ID: 82016






Salvaging a Linear Correlation Matrix 1.0
Download Salvaging a Linear Correlation Matrix 1.0http://www.mathworks.comReport Error Link
License: Freeware
File Size: 10.0 KB
Downloads: 14
Submit Rating:
Salvaging a Linear Correlation Matrix 1.0 Description
Description: The solution of the nearest correlation matrix applies the hypershpere or spectral decomposition methods as outlined in Monte Carlo methods in Finance by Peter Jackel, Chapter 6.

Use CorrelationExample.m that applies a simple example for the two cases.

License: Freeware

Related: jackel, peter, Finance, carlo, chapter, correlationexamplem, cases, Simple, monte, outlined, Matrix, Correlation, nearest, applies, hypershpere, methods, decomposition, Spectral, Solution

O/S:BSD, Linux, Solaris, Mac OS X

File Size: 10.0 KB

Downloads: 14



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