https://gdpark.blog/tags/correlated-random-variables/Recent content in Correlated Random Variables on gdpark.blogHugoenSun, 18 Dec 2016 00:00:00 +0000https://gdpark.blog/posts/financial-engineering-22-cholesky-decomposition-correlated-random-variables/Sun, 18 Dec 2016 00:00:00 +0000https://gdpark.blog/posts/financial-engineering-22-cholesky-decomposition-correlated-random-variables/A casual walkthrough of Cholesky decomposition — from real and Hermitian matrices to positive definite covariance matrices — and why it all matters in financial engineering.