A mean-reverting SDE on correlation matrices

Ahdida, Abdelkoddousse; Alfonsi, Aurélien

doi:10.1016/j.spa.2012.12.008

Record: found
Abstract: not found
Article: not found

A mean-reverting SDE on correlation matrices

Author(s): Abdelkoddousse Ahdida , Aurélien Alfonsi

Publication date Created: April 2013

Publication date (Print): April 2013

Journal: Stochastic Processes and their Applications

Publisher: Elsevier BV

Read this article at

ScienceOpenPublisher

Bookmark

There is no author summary for this article yet. Authors can add summaries to their articles on ScienceOpen to make them more accessible to a non-specialist audience.

Related collections

Author and article information

Journal

Title: Stochastic Processes and their Applications

Abbreviated Title: Stochastic Processes and their Applications

Publisher: Elsevier BV

ISSN (Print): 03044149

Publication date Created: April 2013

Publication date (Print): April 2013

Volume: 123

Issue: 4

Pages: 1472-1520

Article

DOI: 10.1016/j.spa.2012.12.008

SO-VID: 91ab11e1-b7ce-4503-bbf5-27e099578c19

License:

https://www.elsevier.com/tdm/userlicense/1.0/

https://www.elsevier.com/open-access/userlicense/1.0/

History

Data availability:

A mean-reverting SDE on correlation matrices

Read this article at

Related collections

Italian Studies

Author and article information

Journal

Article

History

Comments

Comment on this article

Similar content 2,964

Cited by 3