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  • Search: subject:"Reduced basis"
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Year of publication
Subject
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Option pricing theory 4 Optionspreistheorie 4 Reduced basis 3 A-posteriori error 2 Heston model 2 Proper Orthogonal Decomposition 2 Quasilinear parabolic partial differential equation 2 Stochastic process 2 Stochastischer Prozess 2 model reduction 2 option pricing 2 reduced basis method (RBM) 2 A-posteriori error estimation 1 American option 1 Analysis 1 BARON 1 Chebyshev polynomials 1 Derivat 1 Derivative 1 Derivative pricing 1 Estimation theory 1 Global optimization 1 Mathematical analysis 1 Modellierung 1 Multidimensional interpolation 1 Option trading 1 Optionsgeschäft 1 PDE-constrained optimization 1 Parameter optimization 1 Polynomial programs 1 Reduced basis functions 1 Reduced basis method 1 Reduced basis techniques 1 Reduced order modeling 1 Reformulation-Linearization Technique (RLT) 1 Schätztheorie 1 Scientific modelling 1 Semidefinite cuts 1 Surrogate model 1 calibration 1
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Online availability
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Undetermined 5 Free 4
Type of publication
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Article 7 Book / Working Paper 2
Type of publication (narrower categories)
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Article in journal 3 Aufsatz in Zeitschrift 3 Article 2 Graue Literatur 1 Hochschulschrift 1 Non-commercial literature 1
Language
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English 7 Undetermined 2
Author
All
Burkovska, Olena 2 Hoppe, Fabian 2 Neitzel, Ira 2 Dalkiran, Evrim 1 Dihlmann, Markus 1 Frutos, Javier de 1 Gatón, Víctor 1 Glau, Kathrin 1 Haasdonk, Bernard 1 Liberti, Leo 1 Lovasz, Laszlo 1 Mahlstedt, Mirco 1 Mayerhofer, Antonia Christine 1 Scarf, Herbert E. 1 Sherali, Hanif 1 Urban, Karsten 1 Wohlmuth, Barbara 1
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Institution
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Cowles Foundation for Research in Economics, Yale University 1
Published in...
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Computational Optimization and Applications 3 The journal of computational finance 2 Computational Management Science : CMS 1 Cowles Foundation Discussion Papers 1 Journal of Global Optimization 1
Source
All
ECONIS (ZBW) 4 RePEc 3 EconStor 2
Showing 1 - 9 of 9
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A-posteriori reduced basis error-estimates for a semi-discrete in space quasilinear parabolic PDE
Hoppe, Fabian; Neitzel, Ira - In: Computational Optimization and Applications 87 (2021) 3, pp. 755-784
-monotone nonlinearity. We consider the solution of a semi-discrete in space equation as reference, and therefore incorporate reduced basis …
Persistent link: https://www.econbiz.de/10015403568
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A-posteriori reduced basis error-estimates for a semi-discrete in space quasilinear parabolic PDE
Hoppe, Fabian; Neitzel, Ira - In: Computational Optimization and Applications (2021), pp. 1-30
-monotone nonlinearity. We consider the solution of a semi-discrete in space equation as reference, and therefore incorporate reduced basis …
Persistent link: https://www.econbiz.de/10014501692
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Reduced basis methods for option pricing and calibration
Burkovska, Olena - 2016
Persistent link: https://www.econbiz.de/10012545679
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Complexity reduction for calibration to American options
Burkovska, Olena; Glau, Kathrin; Mahlstedt, Mirco; … - In: The journal of computational finance 23 (2019) 1, pp. 25-60
Persistent link: https://www.econbiz.de/10012064981
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Chebyshev reduced basis function applied to option valuation
Frutos, Javier de; Gatón, Víctor - In: Computational Management Science : CMS 14 (2017) 4, pp. 465-491
Persistent link: https://www.econbiz.de/10011758932
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A reduced basis method for parabolic partial differential equations with parameter functions and application to option pricing
Mayerhofer, Antonia Christine; Urban, Karsten - In: The journal of computational finance 20 (2016/2017) 4, pp. 71-106
Persistent link: https://www.econbiz.de/10011691633
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Certified PDE-constrained parameter optimization using reduced basis surrogate models for evolution problems
Dihlmann, Markus; Haasdonk, Bernard - In: Computational Optimization and Applications 60 (2015) 3, pp. 753-787
solved rapidly. In order to accelerate the process of parameter optimization we will use a reduced basis surrogate model for … we will show that this derivative information can be calculated efficiently in the reduced basis framework in the case of … different cost functionals using the same reduced basis model. Furthermore, we will derive rigorous a-posteriori error …
Persistent link: https://www.econbiz.de/10011241261
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Reduced RLT representations for nonconvex polynomial programming problems
Sherali, Hanif; Dalkiran, Evrim; Liberti, Leo - In: Journal of Global Optimization 52 (2012) 3, pp. 447-469
Persistent link: https://www.econbiz.de/10010539285
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The Generalized Basis Reduction Algorithm
Scarf, Herbert E.; Lovasz, Laszlo - Cowles Foundation for Research in Economics, Yale University - 1990
let L be the lattice of integers Z^{n}. A definition of a reduced basis, b^{1},...,b^{n}, of the lattice with respect to … the distance function F is presented, and we describe an algorithm which yields a reduced basis in polynomial time, for … fixed n. In the special case in which the bodies {x : F(x) <= t} are ellipsoids, the definition of a reduced basis is …
Persistent link: https://www.econbiz.de/10005593542
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