Higham, Nicholas J., Functions of matrices : theory and computation, Philadelphie, Society for Industrial and Applied Mathematics, , 425 p. (ISBN978-0-89871-646-7 et 0-89871-646-2, lire en ligne)
doi.org
dx.doi.org
(en) Nicholas J. Higham, « Computing the nearest correlation matrix—a problem from finance », IMA Journal of Numerical Analysis, vol. 22, no 3, , p. 329-343 (DOI10.1093/imanum/22.3.329)