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Fast PCA for finance problems

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Description

Source code for the paper J. Keiner and B. Waterhouse. Fast Principal Components Analysis method for finance problems with unequal time steps. In P. L'Ecuyer and A. B. Owen, editors, Monte Carlo and Quasi-Monte Carlo Methods 2008, Springer Verlag, 2010

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Additional Project Details

Languages

English

Intended Audience

Financial and Insurance Industry, Science/Research

User Interface

Command-line

Programming Language

MATLAB

Registered

2009-06-21

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