Search Results - subject:"Automatic Differentiation"

How sensitive are VAR forecasts to prior hyperparameters? : an automated sensitivity analysis

Chan, Joshua; Jacobi, Liana; Zhu, Dan - 2018

Persistent link: https://www.econbiz.de/10012202254

A hybrid method of exponential smoothing and recurrent neural networks for time series forecasting

Smyl, Slawek - In: International journal of forecasting 36 (2020) 1, pp. 75-85

Persistent link: https://www.econbiz.de/10012405910

Fast stochastic forward sensitivities in Monte Carlo simulations using stochastic automatic differentiation (with applications to initial margin valuation adjustments)

Fries, Christian - In: The journal of computational finance 22 (2018/2019) 4, pp. 103-125

Persistent link: https://www.econbiz.de/10012042220

Vibrato and automatic differentiation for high-order derivatives and sensitivities of financial options

Pagès, Gilles; Pironneau, Olivier; Sall, Guillaume - In: The journal of computational finance 22 (2018) 2, pp. 1-34

Persistent link: https://www.econbiz.de/10011976655

Automated Likelihood Based Inference for Stochastic Volatility Models

Skaug, Hans J.; Yu, Jun - School of Economics, Singapore Management University - 2009

the use of a numerical technique known as automatic differentiation (AD). Several algorithms are proposed and compared …

Persistent link: https://www.econbiz.de/10008521815

A flexible and automated likelihood based framework for inference in stochastic volatility models

Skaug, Hans J.; Yu, Jun - In: Computational Statistics & Data Analysis 76 (2014) C, pp. 642-654

numerical technique known as automatic differentiation (AD). Several algorithms are proposed and compared with some existing …

Persistent link: https://www.econbiz.de/10010871490

Automated Likelihood Based Inference for Stochastic Volatility Models

Yu, Jun - School of Economics, Singapore Management University - 2007

the use of a numerical technique known as automatic differentiation (AD). Several algorithms are proposed and compared …

Persistent link: https://www.econbiz.de/10010561331

Automated Likelihood Based Inference for Stochastic Volatility Models

Skaug, Hans J.; Yu, Jun - School of Economics, Singapore Management University - 2007

the use of a numerical technique known as automatic differentiation (AD). Several algorithms are proposed and compared …

Persistent link: https://www.econbiz.de/10010561674

Manifold mapping optimization with or without true gradients

Delinchant, B.; Lahaye, D.; Wurtz, F.; Coulomb, J.-L. - In: Mathematics and Computers in Simulation (MATCOM) 90 (2013) C, pp. 256-265

, symbolic or automatic differentiation. In this context, we have tested several manifold mapping variants and compared their …

Persistent link: https://www.econbiz.de/10010869911

A general framework for convexity analysis in deterministic global optimization

Kearfott, Ralph; Castille, Jessie; Tyagi, Gaurav - In: Journal of Global Optimization 56 (2013) 3, pp. 765-785

In previous work, we, and also Epperly and Pistikopoulos, proposed an analysis of general nonlinear programs that identified certain variables as convex, not ever needing subdivision, and non-convex, or possibly needing subdivision in branch and bound algorithms. We proposed a specific...

Persistent link: https://www.econbiz.de/10010845843