Geometric optimisation algorithms are developed that efficiently find the nearest low-rank correlation matrix. We show … nearest low-rank correlation matrix occurs as part of the calibration of multi-factor interest rate market models to … correlation. Keywords: geometric optimisation, correlation matrix, Rank, LIBOR market model …

average derivative estimator to the multiple index model setting. The estimator uses the average of the outer product of … derivatives and is shown to be root-N consistent and asymptotically normal. Unlike the average derivative estimator, our estimator … still works in the single-index setting when the expected derivative is zero (symmetry). Compared to other estimators for …