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Original Articles

The most simple methodology to create a valid correlation matrix for risk management and option pricing purposes

Pages 1767-1768 | Published online: 28 Oct 2009

References

  • Higham , N. 2001 . Computing the nearest correlation matrix – a problem from finance . IMA Journal of Numerical Analysis , 22 : 329 – 43 .
  • Kupiec , P. H. 1998 . Stress testing in a value at risk framework . Journal of Derivatives , 6 : 7 – 24 .
  • Rapisarda , F. , Brigo , D. and Mercurio , F. 2007 . Parameterizing correlations: a geometric interpretation . IMA Journal of Management Mathematics , 18 : 55 – 73 .
  • Rebonato , R. and Jäckel , P. 1999/2000 . The most general methodology to create a valid correlation matrix for risk management and option pricing purposes . The Journal of Risk , 2 : 17 – 28 .

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