Fast Rank Reduction of Parametric Forward Rate Correlation Matrices

10 Pages Posted: 19 Nov 2010

Date Written: November 8, 2010

Abstract

For efficiently calibrating the correlation structure of a LIBOR market model (LMM) to market data, low-rank correlation parameterizations are necessary. In this paper we present a new simple approach for generating low-rank low-parametric forms from given full-rank parameterizations.

Suggested Citation

Lutz, Matthias, Fast Rank Reduction of Parametric Forward Rate Correlation Matrices (November 8, 2010). Available at SSRN: https://ssrn.com/abstract=1711191 or http://dx.doi.org/10.2139/ssrn.1711191

Matthias Lutz (Contact Author)

Barclays ( email )

London EC3P 3AH
United Kingdom

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