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Complete the Correlation Matrix

In: From Nano to Space

Author

Listed:
  • C. Kahl

    (ABN AMRO, Quantitative Analytics Group)

  • M. Günther

    (Bergische Universität Wuppertal, Fachbereich Mathematik und Naturwissenschaften, Fachgruppe Mathematik und Informatik, Lehrstuhl für Angewandte Mathematik / Numerische Analysis)

Abstract

In this article we discuss a method to complete the correlation matrix in a multi-dimensional stochastic volatility model. We concentrate on the construction of a positive definite correlation matrix. Furthermore we present a numerical integration scheme for this system of stochastic differential equations which improves the approximation quality of the standard Euler-Maruyama method with minimal additional computational effort.

Suggested Citation

  • C. Kahl & M. Günther, 2008. "Complete the Correlation Matrix," Springer Books, in: Michael H. Breitner & Georg Denk & Peter Rentrop (ed.), From Nano to Space, pages 229-244, Springer.
    • Handle: RePEc:spr:sprchp:978-3-540-74238-8_17
    DOI: 10.1007/978-3-540-74238-8_17
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