13. The Future of Correlation Modeling

  1. Gunter Meissner

Published Online: 13 DEC 2013

DOI: 10.1002/9781118809204.ch13

Correlation Risk Modeling and Management An Applied Guide Including the Basel III Correlation Framework - with Interactive Correlation Models in Excel®/VBA

Correlation Risk Modeling and Management An Applied Guide Including the Basel III Correlation Framework - with Interactive Correlation Models in Excel®/VBA

How to Cite

Meissner, G. (ed) (2014) The Future of Correlation Modeling, in Correlation Risk Modeling and Management An Applied Guide Including the Basel III Correlation Framework - with Interactive Correlation Models in Excel®/VBA, John Wiley & Sons Singapore Pte. Ltd., Solaris South Tower, Singapore. doi: 10.1002/9781118809204.ch13

Publication History

  1. Published Online: 13 DEC 2013
  2. Published Print: 16 JAN 2014

ISBN Information

Print ISBN: 9781118796900

Online ISBN: 9781118809204

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Keywords:

  • GPUs (graphical processing units);
  • Neural Networks;
  • Genetic algorithms;
  • Fuzzy logic;
  • Bayesian mathematics;
  • Chaos theory

Summary

In this chapter we discuss new developments and financial modeling, which can be extended to correlation modeling. We address the application of GPUs (graphical processing units), which allow fast parallel execution of numerically intensive code without the need of mathematical solvency. We also discuss some new artificial intelligence approaches as Neural Networks, Genetic algorithms, as well as Fuzzy logic, Bayesian mathematics, and Chaos theory.