A new methodology to create valid time-dependent correlation matrices via isospectral flows

DOI10.1051/m2an/2019064zbMath1441.91095OpenAlexW2970924694MaRDI QIDQ5110266

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Publication date: 18 May 2020

Published in: ESAIM: Mathematical Modelling and Numerical Analysis (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1051/m2an/2019064

zbMATH Keywords

isospectral flowmatrix differential equationtime-dependent correlation matrix

Mathematics Subject Classification ID

Applications of statistics to actuarial sciences and financial mathematics (62P05) Measures of association (correlation, canonical correlation, etc.) (62H20) Actuarial science and mathematical finance (91G99)

Related Items (3)

Correlation Matrices Driven by Stochastic Isospectral Flows ⋮ Asymmetry in stochastic volatility models with threshold and time-dependent correlation ⋮ Higher strong order methods for linear Itô SDEs on matrix Lie groups

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