most citedA direct formulation for sparse PCA using semidefinite programming

125 citations

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cond-mat.other2005★ 4 cited

A General Asymptotic Implied Volatility for Stochastic Volatility Models

Pierre Henry-Labordere

In this paper, we derive a general asymptotic implied volatility at the first-order for any stochastic volatility model using the heat kernel expansion on a Riemann manifold endowe…

cs.CE2004★ 125 cited

A direct formulation for sparse PCA using semidefinite programming

Alexandre d'Aspremont, Laurent El Ghaoui, Michael I. Jordan +1

We examine the problem of approximating, in the Frobenius-norm sense, a positive, semidefinite symmetric matrix by a rank-one matrix, with an upper bound on the cardinality of its…