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ROM Simulation with Random Rotation Matrices


Dan Ledermann


University of Reading - ICMA Centre

Carol Alexander


University of Reading - ICMA Centre

April 8, 2011

ICMA Centre Discussion Papers in Finance No. DP2011-06

Abstract:     
This paper explores the properties of random orthogonal matrix (ROM) simulation when the random matrix is drawn from the class of rotational matrices. We describe the characteristics of ROM simulated samples that are generated using random Hessenberg, Cayley and exponential matrices and compare the computational efficiency of parametric ROM simulations with standard Monte Carlo techniques.

Number of Pages in PDF File: 21

Keywords: Computational efficiency, L matrices, Ledermann matrix, Random Orthogonal Matrix (ROM), Rotation matrix, Simulation

JEL Classification: C14, C15, C63

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Date posted: April 12, 2011 ; Last revised: April 30, 2011

Suggested Citation

Ledermann, Dan and Alexander, Carol, ROM Simulation with Random Rotation Matrices (April 8, 2011). ICMA Centre Discussion Papers in Finance No. DP2011-06. Available at SSRN: http://ssrn.com/abstract=1805662 or http://dx.doi.org/10.2139/ssrn.1805662

Contact Information

Dan Ledermann
University of Reading - ICMA Centre ( email )
Whiteknights Park
P.O. Box 242
Reading RG6 6BA
United Kingdom
Carol Alexander (Contact Author)
University of Reading - ICMA Centre ( email )
Whiteknights Park
P.O. Box 242
Reading, RG6 6BA
United Kingdom
+44 1183 786431 (Phone)
HOME PAGE: http://www.carolalexander.org
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