correlatedBrownian
how to use cholesky to correlate brownian movement
check https://croquelois.github.io/correlatedBrownian/index.html
I'm using:
- cholesky implementation from https://github.com/lukapopijac/cholesky-tools
- numericjs for matrix multiplication https://github.com/sloisel/numeric
- d3.js for visualisation