Parameterizing correlations: A geometric interpretation

IMA Journal of Management Mathematics

Volumn 18, Issue 1, 2007, Pages 55-73

  Rapisarda, Francesco ^a   Brigo, Damiano ^b   Mercurio, Fabio ^b  

^a UBS Investment Bank   (United Kingdom)

^b Intesa Sanpaolo SpA   (Italy)

Author keywords

Correlation matrix; Libor Market Model; Rank reduction; Risk management

Indexed keywords

EID: 33845429219     PISSN: 1471678X     EISSN: 14716798     Source Type: Journal    
DOI: 10.1093/imaman/dpl010     Document Type: Article

References (10)