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Salvaging a Linear Correlation Matrix

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The solution of the nearest correlation matrix applies the hypershpere or spectral decomposition methods as outlined in Monte Carlo methods in Finance by Peter Jackel, Chapter 6.

Use CorrelationExample.m that applies a simple example for the two cases.

Free download from Shareware Connection - The solution of the nearest correlation matrix applies the hypershpere or spectral decomposition methods as outlined in Monte Carlo methods in Finance by Peter Jackel, Chapter 6.

Publisher: Ahmos Sansom | License: Freeware | Price: 0.00
Version: 1.0 | Size: 10 KB | Platform: Matlab, Scripts
Released Date: 08-03-2013 | Rating: 0 | Title: Salvaging a Linear Correlation Matrix

Author Url: http://www.mathworks.com
Program Info Url: http://www.mathworks.com
Download Url: http://www.mathworks.com/matlabcentral/fx_files/26475/1/MATLABNearestCorrelationEx.zip

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