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Reload this Page Cholesky Decomposition Method
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  #1  
Old 05-06-2009, 10:39 AM
rogge rogge is offline
 
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Default Cholesky Decomposition Method
Can anyone give me some advice as to how to obtain info on this topic relevant for the exam. Thanks.
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Old 05-06-2009, 11:37 AM
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badmaj5 badmaj5 is offline
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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.
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Old 05-06-2009, 12:07 PM
Sophie H. Sophie H. is offline
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what's this topic about?
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Old 05-06-2009, 12:13 PM
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badmaj5 badmaj5 is offline
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How to simulate correlated stock prices is the exam application.
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Old 05-06-2009, 12:27 PM
OneNote OneNote is offline
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Yeah, the ASM chapter on Choleski is really good.
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Old 05-06-2009, 03:02 PM
rogge rogge is offline
 
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Much appreciated
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