I don't see how a non-PSD matrix can serve as a correlation matrix? Where did you get the numbers from?

<t>Hi all,I am looking for some books or references for a beginner in quantitative equity trading. I am particularly interested in how a strategy is originated and backtested, what popular models are used. I got some conflicting ideas - on the one side, I read about practices using PCA and different...

Hello to all experts here! I am wondering what is the state of art in pricing and risk managing basket spread options where each basket is a collection of log-normal assets. Can someone point me to some reference? Many thanks! - GH

Hello to all experts here! I am wondering what is the state of art in pricing and risk managing basket spread options where each basket is a collection of log-normal assets. Can someone point me to some reference? Many thanks! - GH

It seems that it can be done in O(n^2) time.