Adjoint algorithmic differentiation is an efficient way to obtain financial instrument price derivatives with respect to the data inputs. Often the differentiation does not cover the full pricing ...
Proceedings of the National Academy of Sciences of the United States of America, Vol. 2, No. 6 (Jun. 15, 1916), pp. 309-313 (5 pages) ...
In this paper we investigate the effectiveness of alternating direction implicit (ADI) time-discretization schemes in the numerical solution of the three-dimensional Heston-Hull-White partial ...
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