Efficient rank reduction of correlation matrices (Q875015)
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scientific article
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | Efficient rank reduction of correlation matrices |
scientific article |
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Efficient rank reduction of correlation matrices (English)
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10 April 2007
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geometric optimisation
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correlation matrix
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rank
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LIBOR market model
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numerical examples
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Lagrange multiplier method
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