View Full Version : Cholesky Decomposition Method
05-06-2009, 10:39 AM
Can anyone give me some advice as to how to obtain info on this topic relevant for the exam. Thanks.
05-06-2009, 11:37 AM
There is a pretty good discussion of it in ASM. It may seem complicated at first, but it is a pretty simple set up for exam problems.
05-06-2009, 12:07 PM
what's this topic about?
05-06-2009, 12:13 PM
How to simulate correlated stock prices is the exam application.
05-06-2009, 12:27 PM
Yeah, the ASM chapter on Choleski is really good.
05-06-2009, 03:02 PM
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