Correlation Matrices Driven by Stochastic Isospectral Flows

DOI10.1007/978-3-031-11818-0_59MaRDI QIDQ6048693zbMATH OpenFDO

Authors Michelle Muniz, Matthias Ehrhardt, Michael Günther

Publication date 15 September 2023

Published in Mathematics in Industry (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1007/978-3-031-11818-0_59

Mathematics Subject Classification ID

Numerical analysis (65-XX)

Recommendations

• A new methodology to create valid time-dependent correlation matrices via isospectral flows
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• RANDOM MATRIX THEORY AND FINANCIAL CORRELATIONS
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Cites work

• A new methodology to create valid time-dependent correlation matrices via isospectral flows
• Geometric Numerical Integration
• High order Runge-Kutta methods on manifolds
• Stochastic Lie Group Integrators

Cited in

(1)

• Strong stochastic Runge-Kutta-Munthe-Kaas methods for nonlinear Itô SDEs on manifolds

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