collaborators

1 paper

q-fin.ST2014

Approximation of eigenvalues of spot cross volatility matrix with a view toward principal component analysis

Nien-Lin Liu, Hoang-Long Ngo

In order to study the geometry of interest rates market dynamics, Malliavin, Mancino and Recchioni [A non-parametric calibration of the HJM geometry: an application of Itô calculus…