Hi Everyone

Need a bit of help on a correlation coefficient question I came across during revision:

Shares A and B have the following Variance-Covaraince matrix.

$\displaystyle

\left[

\begin{array}{cc}

\sigma_{a^2} & \sigma_{ab} \\

\sigma_{ba} & \sigma_{b^2}

\end{array}

\right] = \left[\begin{array}{cc}

0.02 & -0.005 \\

-0.005 & 0.01

\end{array}

\right]$

What is the correlation coefficient between A and B?

(a) .35

(b) .125

(c) -.35

(d) -25

If anyone could enlighten me with the answer and the method for getting the answer it would be much appreciated!