Efficient rank reduction of correlation matrices (Q875015)
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scientific article
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| English | Efficient rank reduction of correlation matrices |
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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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0.8813858032226562
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0.8506537079811096
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0.8309162259101868
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0.8056510090827942
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