Nearest Correlation matrix using Hypersphere Decomposition [Octave Matlab]

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Nearest Correlation matrix using Hypersphere Decomposition
Submitter: vanna	Date: 2007/3/31

Description: Calculates nearest correlation matrix for an input bad correlation matrix using method as described in section 2 of paper The most general methodology to create a valid correlation matrix for risk management and option pricing purposes Got a question or problem with this link? Just enter your message and click on submit. No registration is required. Note: A copy of this message will also be emailed to the submitter of this link
1293 0 bytes Octave Matlab http://www.quantcode.com/
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