Model Building: Correlations

Srdjan Stojanovic ()
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Srdjan Stojanovic: University of Cincinnati, Department of Mathematics

Chapter Appendix A in Neutral and Indifference Portfolio Pricing, Hedging and Investing, 2012, pp 249-256 from Springer

Abstract: Abstract For the completeness of the presentation, and to facilitate applicability and empirical verification of the results presented in this book, we also present some useful long correlations formulas, derived and used symbolically throughout this book.

Keywords: Partial Differential Equation; Covariance Matrix; Linear Equation; Computational Mathematic; Correlation Matrix (search for similar items in EconPapers)
Date: 2012
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DOI: 10.1007/978-0-387-71418-9_8

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