Warning: Creating default object from empty value in /hermes/bosnacweb04/bosnacweb04ai/b1550/ipg.lantanasolutionsbh98965/fincyclopedia/wp-content/plugins/independent-core/admin/ReduxCore/inc/class.redux_filesystem.php on line 29 Cholesky Decomposition – Fincyclopedia
[wpdreams_ajaxsearchpro id=44 ]
  • Monday, April 28, 2025
  • The Financial Encyclopedia
[wpdreams_ajaxsearchpro id=43 ]

Derivatives

  Derivatives   |   Terms
  • 813
  • November 6, 2022
[addtoany]
Notice: Undefined variable: myString in /hermes/bosnacweb04/bosnacweb04ai/b1550/ipg.lantanasolutionsbh98965/fincyclopedia/wp-content/themes/independent/template-parts/post/content-single.php on line 41

Cholesky Decomposition

A variance-covariance matrix decomposition technique that involves taking random sample from a multivariate normal distribution. In other words, it refers to the process of obtaining random samples from a multivariate normal distribution that takes into account the degrees of correlation among the variables involved. Cholesky decomposition is mainly used in simulation (e.g., Monte Carlo simulation) and multivariate option valuation. This type of decomposition is important in the analysis of risk factors and in the pricing of financial instruments and risk management (VaR modelling and copula models).


[related_posts_by_tax title="See also" posts_per_page="10" taxonomies="post_tag"]

[pt_view id=78ecc7bubm]
[su_box title="Watch on Youtube" style="soft" box_color="#f5f5f5" title_color="#282828" radius="2" class="" id=""][su_row class=""][su_column size="1/1" center="yes" class=""] [/su_column][/su_row][/su_box]

Latest Terms

Remember to read our privacy policy before submission of your comments or any suggestions. Please keep comments relevant, respectful, and as much concise as possible. By commenting you are required to follow our community guidelines.

Comments

    Leave Your Comment

    Your email address will not be published.*