Minabutdinov, Aleksei; Manaev, Ilia; Bouev, Maxim - National Research University Higher School of Economics - 2014
We consider the problem of finding a valid covariance matrix in the FX market given an initial non-PSD estimate of such a matrix. The standard no-arbitrage assumption implies additional linear constraints on such matrices, which automat-ically makes them singular. As a result, one cannot just...