Sep
24

## Rank reduction of correlation matrices by majorization

Rank reduction is useful for multi-factor derivative pricing and risk analysis, for instance, for a Bermudan swaption, Major, MajorW and MajorPower are MATLAB templates that may be used to find a low-rank correlation matrix locally nearest to a given correlation matrix, by means of majorization. Major implements equal weights on the entries of the correlation matrix. MajorW implements non-constant weights.

For an introductory of Rank reduction of correlation matrices by majorization paper can be downloaded at http://www.pietersz.org/majorization.pdf, with Matlab codes

http://www.pietersz.org/major.htm

Hot posts:

15 Incredibly Stupid Ways People Made Their Millions

Online stock practice

Ino.com: Don't Join Marketclub until You Read This MarketClub Reviews

World Changing Mathematical Discoveries

Value at Risk xls

Random posts:

Heston model pricing and calibration

Free Financial Spreadsheets

Process Simulation in R

Three Excellent Tools To Protect Your Data

Mean Reversion Speed Estimation - What Am I Missing?

For an introductory of Rank reduction of correlation matrices by majorization paper can be downloaded at http://www.pietersz.org/majorization.pdf, with Matlab codes

http://www.pietersz.org/major.htm

**People viewing this post also viewed:**

Hot posts:

Random posts: