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An EZI Method to Reduce the Rank of a Correlation Matrix in Financial Modelling
Morini, Massimo; Webber, Nick - In: Applied mathematical finance 13 (2006) 4, pp. 309-332
Persistent link: https://www.econbiz.de/10008222266
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An EZI method to reduce the rank of a correlation matrix in financial modelling
Morini, Massimo; Webber, Nick - In: Applied mathematical finance 13 (2006) 4, pp. 309-331
Persistent link: https://www.econbiz.de/10003396206
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Price impact without averaging
Bellani, Claudio; Brigo, Damiano; Pakkanen, Mikko S.; … - In: Applied mathematical finance 30 (2023) 4, pp. 175-206
Persistent link: https://www.econbiz.de/10015051237