Cholesky Decomposition Method [Archive]

rogge

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.

badmaj5

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.

Sophie H.

05-06-2009, 12:07 PM

what's this topic about?

badmaj5

05-06-2009, 12:13 PM

How to simulate correlated stock prices is the exam application.

OneNote

05-06-2009, 12:27 PM

Yeah, the ASM chapter on Choleski is really good.

rogge

05-06-2009, 03:02 PM

Much appreciated