Approximating Correlation Matrices Using Stochastic Lie Group Methods
نویسندگان
چکیده
Specifying time-dependent correlation matrices is a problem that occurs in several important areas of finance and risk management. The goal this work to tackle by applying techniques geometric integration financial mathematics, i.e., combine two fields numerical mathematics have not been studied yet jointly. Based on isospectral flows we create valid matrices, so called flows, solving stochastic differential equation (SDE) evolves the special orthogonal group. Since structure group needs be preserved use Lie integrators solve SDE. An application example presented illustrate novel methodology.
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ژورنال
عنوان ژورنال: Mathematics
سال: 2021
ISSN: ['2227-7390']
DOI: https://doi.org/10.3390/math9010094