Nick Higham Interviewed in The Actuary Magazine
Professor Nick Higham is featured in the June 2020 issue of The Actuary Magazine, the magazine of the Institute and Faculty of Actuaries.
In an interview with the editor, Dan Georgescu, Nick talks about his development in 2002 of his nearest correlation matrix algorithm, which is widely used in finance and data science.
The magazine is freely readable on the Issuu platform.
More details about the nearest correlation matrix problem and algorithms for solving it are available on Nick’s blog.