Independent Component Analysis and Immunization: An Exploratory Study

DOI10.1142/S0219024903002201MaRDI QIDQ4812333zbMATH OpenOpenAlexFDO

Authors Fabio Bellini, E. Salinelli

Publication date 7 September 2004

Published in International Journal of Theoretical and Applied Finance (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1142/s0219024903002201

zbMATH Keywords

mutual informationPCAimmunizationICAterm structure movements

Mathematics Subject Classification ID

Statistical aspects of information-theoretic topics (62B10) Factor analysis and principal components; correspondence analysis (62H25) Applications of statistics (62P99)

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• Interest-rate option models: understanding, analysing and using models for exotic interest-rate options.
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• Projection pursuit
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