An EZI Method to Reduce the Rank of a Correlation Matrix in Financial Modelling

DOI10.1080/13504860600658976zbMath1142.91549OpenAlexW2090046997MaRDI QIDQ3424320

Nick Webber, Massimo Morini

Publication date: 15 February 2007

Published in: Applied Mathematical Finance (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1080/13504860600658976

zbMATH Keywords

market modelscorrelation matrixrank reduction

Mathematics Subject Classification ID

Auctions, bargaining, bidding and selling, and other market models (91B26)

Related Items (2)

A majorization algorithm for constrained correlation matrix approximation ⋮ Efficient rank reduction of correlation matrices

Cites Work

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• Computing the nearest correlation matrix--a problem from finance
• The LIBOR model dynamics: Approximations, calibration and diagnostics
• Optimal low-rank approximation to a correlation matrix
• Structured low rank approximation
• An Algorithm for Restricted Least Squares Regression
• Interest rate models -- theory and practice

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