Correlation matrix with block structure and efficient sampling methods
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Publication:5411512
DOI10.21314/JCF.2010.216zbMath1284.91573OpenAlexW2430325939MaRDI QIDQ5411512
Publication date: 23 April 2014
Published in: The Journal of Computational Finance (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.21314/jcf.2010.216
Numerical methods (including Monte Carlo methods) (91G60) Measures of association (correlation, canonical correlation, etc.) (62H20) Monte Carlo methods (65C05) Credit risk (91G40)
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Matrix compression along isogenic blocks ⋮ A note on portfolios of averages of lognormal variables ⋮ COMPATIBILITY AND ATTAINABILITY OF MATRICES OF CORRELATION-BASED MEASURES OF CONCORDANCE
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