Igor Grubisic

Utrecht University - Faculty of Mathematics and Computer Science

Utrecht

Netherlands

SCHOLARLY PAPERS

2

DOWNLOADS

492

CITATIONS
Rank 16,266

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Top 16,266

in Total Papers Citations

21

Scholarly Papers (2)

1.

Efficient Rank Reduction of Correlation Matrices

ERIM Report Series Reference No. ERS-2005-009-F&A
Number of pages: 24 Posted: 29 Mar 2006
Igor Grubisic and Raoul Pietersz
Utrecht University - Faculty of Mathematics and Computer Science and ABN AMRO
Downloads 266 (111,935)
Citation 11

Abstract:

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Geometric optimisation, Correlation matrix, Rank, LIBOR market model

2.

Efficient Rank Reduction of Correlation Matrices

Number of pages: 21 Posted: 21 Mar 2004
Igor Grubisic and Raoul Pietersz
Utrecht University - Faculty of Mathematics and Computer Science and ABN AMRO
Downloads 226 (132,093)
Citation 10

Abstract:

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geometric optimisation, correlation matrix, rank, LIBOR market model