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Cited article:

Stochastic SO(2) Lie Group Method for Approximating Correlation Matrices

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Mathematics 13 (9) 1496 (2025)
https://doi.org/10.3390/math13091496

Asymmetry in stochastic volatility models with threshold and time-dependent correlation

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Studies in Nonlinear Dynamics & Econometrics 27 (2) 131 (2023)
https://doi.org/10.1515/snde-2021-0020

Progress in Industrial Mathematics at ECMI 2021

Michelle Muniz, Matthias Ehrhardt and Michael Günther
Mathematics in Industry, Progress in Industrial Mathematics at ECMI 2021 39 455 (2022)
https://doi.org/10.1007/978-3-031-11818-0_59

Higher strong order methods for linear Itô SDEs on matrix Lie groups

Michelle Muniz, Matthias Ehrhardt, Michael Günther and Renate Winkler
BIT Numerical Mathematics 62 (4) 1095 (2022)
https://doi.org/10.1007/s10543-021-00905-9

Approximating Correlation Matrices Using Stochastic Lie Group Methods

Michelle Muniz, Matthias Ehrhardt and Michael Günther
Mathematics 9 (1) 94 (2021)
https://doi.org/10.3390/math9010094