3.2 Modelling price processes - multiple price processes

This paper covers:

• Modelling several price processes
• Correlation, covariance, eigensystems, and diagonalisation
• Principal component analysis
• Correcting issues with large correlation matrices
• Principal components of the yield curve
• A linear parametric measurement of risk
• Correlations in practice
• Multi-variate Monte Carlo models including modelling several correlated asset prices simultaneously, Cholesky decomposition, and eigenvalue decomposition

This paper has 24 pages and the Excel has 5 sheets