Some results on correlation matrices for interest rates

DOI10.1007/S10440-011-9622-XMaRDI QIDQ637511zbMATH OpenOpenAlexFDO

Authors E. Salinelli, Carlo Sgarra

Publication date 6 September 2011

Published in Acta Applicandae Mathematicae (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1007/s10440-011-9622-x

zbMATH Keywords

principal component analysistotal positivitycorrelation structuresinterest rates models

Mathematics Subject Classification ID

Factor analysis and principal components; correspondence analysis (62H25) Eigenvalues, singular values, and eigenvectors (15A18) Interest rates, asset pricing, etc. (stochastic models) (91G30) Stochastic integral equations (60H20)

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Cites work

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• An equilibrium characterization of the term structure
• Bounds for the Greatest Latent Root of a Positive Matrix
• Bounds for the Greatest Latent Roots of a Positive Matrix
• Correlation matrices of yields and total positivity
• Eigenvalue-eigenvector analysis for a class of patterned correlation matrices with an application
• Interest rate models -- theory and practice
• Level–Slope–Curvature – Fact or Artefact?
• On the Eigenvector belonging to the Maximal Root of a Non-negative Matrix
• On the Maximal Eigenvector of a Positive Matrix
• Pricing interest-rate-derivative securities
• Principal component analysis.
• Shift, slope and curvature for a class of yields correlation matrices
• Systematic Generation of Parametric Correlation Structures for the LIBOR Market Model
• The theorems of Ledermann and Ostrowski on positive matrices
• Totally positive matrices

Cited in

(9)

• Eigenvalue-eigenvector structure of Schoenmakers-Coffey matrices via Toeplitz technology and applications
• Capturing the Correlations of Fixed-income Instruments
• Exploring the total positivity of yields correlations
• Level–Slope–Curvature – Fact or Artefact?
• Accurate and fast computations with positive extended Schoenmakers-Coffey matrices
• On the level-slope-curvature effect in yield curves and eventual total positivity
• Upper bound for the Lempert function of smooth domains
• Correlation matrices of yields and total positivity
• Shift, slope and curvature for a class of yields correlation matrices

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