Mahidol University - Department of Mathematics
in Total Papers Downloads
implied volatility, option pricing, Black-Scholes formula, European options
adjusting correlation matrix, correlation stress testing, correlation sensitivity analysis, positive semi-definite, positive definite
Adjusting correlation, stress testing, correlation matrix
generating correlation matrices, boundaries of correlation coefficients, uniform random variable, multivariate simulation, positive semi-definite
adjusting correlation, stress testing, correlation matrix, boundaries, lower bound, upper bound, nearest correlation matrix
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