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

DOI10.1080/13504860600658976MaRDI QIDQ3424320zbMATH OpenOpenAlexFDO

Authors Massimo Morini, Nick Webber

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

correlation matrixmarket modelsrank reduction

Mathematics Subject Classification ID

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

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Cites work

• An Algorithm for Restricted Least Squares Regression
• Computing the nearest correlation matrix--a problem from finance
• scientific article; zbMATH DE number 5281111 (Why is no real title available?)
• Interest rate models -- theory and practice
• Interest-rate option models: understanding, analysing and using models for exotic interest-rate options.
• Optimal low-rank approximation to a correlation matrix
• Structured low rank approximation
• The LIBOR model dynamics: Approximations, calibration and diagnostics

Cited in

(3)

• Rank reduction of correlation matrices by majorization
• A majorization algorithm for constrained correlation matrix approximation
• Efficient rank reduction of correlation matrices

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