The Most General Methodology to Create a Valid Correlation Matrix for Risk Management and Option Pricing Purposes
The Most General Methodology to Create a Valid Correlation Matrix for Risk Management and Option Pricing Purposes
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DOI：
10.2139/ssrn.1969689
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发表时间：
2011-12
期刊：
影响因子：
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通讯作者：
R. Rebonato;P. Jaeckel
中科院分区：
文献类型：
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作者：
R. Rebonato;P. Jaeckel
我们已经提出了两种简单的方法来产生一个可行的（即真实的，对称的，和positivesemifirm）相关矩阵时，计量经济学的一个是嘈杂的，不可用的，或不合适的。第一种方法是知识的作者更一般的方法，已在文献中提出的，计算速度更快。它实际上可以在用户指定的意义上产生最优可行解。第二种方法，原则上，不是一般的，但我们表明，i）它是非常快的，ii）它产生的结果非常接近使用一般程序获得的结果。因此，它可以单独使用，也可以作为一般优化过程的起点，从而使后者更快。
We have presented two simple methods to produce a feasible (i.e. real, symmetric, and positivesemidefinite) correlation matrix when the econometric one is either noisy, unavailable, or inappropriate. The first method is to the knowledge of the authors more general than any of the approaches which have been proposed in the literature, and computationally faster. It can actually produce the optimal feasible solution in a sense specified by the user. The second method is, in principle, not as general, but we show that i) it is extremely fast and ii) it produces results very close to those obtained using the general procedure. It can therefore be used in its own right, or as a starting point for the general optimisation procedure, thereby making the latter even faster.