Afterlife

Modern Pricing of Interest-Rate Derivatives

was troublshooting a piece of code today. found out within a covariance matrix they uses matrix eigen.

http://books.google.com/books?id=Zs4lmuf5MmwC&pg=PA394&lpg=PA394&dq=rebonato+covariance+matrix&source=web&ots=GE5M86-0hB&sig=ypM3R3dhysfwCYV6wYoq4yaF2TM
citeseer.ist.psu.edu/rebonato99most.html

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