The most general methodology for creating a valid correlation matrix for risk management and option pricing purposes
Riccardo Rebonato; Peter Jäckel
| Year of publication: |
2004
|
|---|---|
| Authors: | Rebonato, Riccardo ; Jäckel, Peter |
| Published in: |
Innovations in risk management : seminal papers from the Journal of Risk. - London : Risk Books, ISBN 1-904339-28-X. - 2004, p. 339-351
|
| Subject: | Risikomanagement | Risk management | Korrelation | Correlation | Optionspreistheorie | Option pricing theory | Lineare Algebra | Linear algebra | Portfolio-Management | Portfolio selection |
| Type of publication: | Article |
|---|---|
| Language: | English |
| Notes: | Literaturangaben |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://ebvufind01.dmz1.zbw.eu/10002600431