Functions of Matrices and Nearest Correlation Matrices for Quant Analytics

Functions of Matrices and Nearest Correlation Matrices for Quant Analytics   We were in New York in December for the NAG Quant Event, the slides from the talks can now be downloaded via the links below   Nicholas J Higham – The University of Manchester Functions of Matrices and Nearest Correlation Matrices – http://www.nag.co.uk/Market/events/fun11NY_finance.pdf   …

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