Peter Jaeckel

affiliation not provided to SSRN

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The Most General Methodology to Create a Valid Correlation Matrix for Risk Management and Option Pricing Purposes

Number of pages: 12 Posted: 10 Dec 2011
Riccardo Rebonato and Peter Jaeckel
Independent and affiliation not provided to SSRN
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Citation 24

Abstract:

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Covariance, correlation, robustness