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Two Useful Techniques for Financial Modelling Problems

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  • Paul Doust

Abstract

A technique for defining an N × N correlation matrix in terms of N - 1 parameters is presented, as well as a reliable method for parameterizing positive weights or probabilities that sum to 1.

Suggested Citation

  • Paul Doust, 2010. "Two Useful Techniques for Financial Modelling Problems," Applied Mathematical Finance, Taylor & Francis Journals, vol. 17(3), pages 201-210.
    • Handle: RePEc:taf:apmtfi:v:17:y:2010:i:3:p:201-210
    DOI: 10.1080/13504860903257666
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    References listed on IDEAS

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    1. Harry Markowitz, 1952. "Portfolio Selection," Journal of Finance, American Finance Association, vol. 7(1), pages 77-91, March.
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    Cited by:

    1. Glau, Kathrin & Wunderlich, Linus, 2022. "The deep parametric PDE method and applications to option pricing," Applied Mathematics and Computation, Elsevier, vol. 432(C).
    2. Kathrin Glau & Linus Wunderlich, 2020. "The Deep Parametric PDE Method: Application to Option Pricing," Papers 2012.06211, arXiv.org.

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    Keywords

    Financial modelling;

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