Complete the Correlation Matrix

Author:

Kahl C.,Günther M.

Publisher

Springer Berlin Heidelberg

Reference13 articles.

1. Barett, W.W. and Johnson, C.R. and Lundquist, M.: Determinantal Formulae for Matrix Completions Associated with Chordal Graphs. Linear Algebra and its Applications, 121, 265–289 (1989).

2. Chesney, M. and Scott, L.: Pricing European Currency Options: A comparison of the modified Black-Scholes model and a random variance model. Journal of Financial and Quantitative Analysis, 24, 267–284 (1989).

3. Duff, I. S. and Erisman, A. M. and Reid, J. K.: Direct Methods for Sparse Matrices. Oxford Science Publications, Oxford, 1986.

4. Frommer, A.: Dünn besetzte Matrizen. Manuscript, University of Wuppertal, 2003.

5. A. George and J. W. H. Liu: Computer solution of large sparse positive-definite systems. Prentice-Hall, New-Jersey, 1981.

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