Fast Rank Reduction of Parametric Forward Rate Correlation Matrices
University of Ulm
November 8, 2010
For efficiently calibrating the correlation structure of a LIBOR market model (LMM) to market data, low-rank correlation parameterizations are necessary. In this paper we present a new simple approach for generating low-rank low-parametric forms from given full-rank parameterizations.
Number of Pages in PDF File: 10working papers series
Date posted: November 19, 2010
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