Two Useful Techniques for Financial Modelling Problems

Paul Doust

Applied Mathematical Finance, 2010, vol. 17, issue 3, 201-210

Abstract: A technique for defining an N × N correlation matrix in terms of N - 1 parameters is presented, as well as a reliable method for parameterizing positive weights or probabilities that sum to 1.

Keywords: Financial modelling (search for similar items in EconPapers)
Date: 2010
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Citations: View citations in EconPapers (2)

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DOI: 10.1080/13504860903257666

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