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  • Search: subject:"Reduced basis method"
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Year of publication
Subject
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Heston model 2 Option pricing theory 2 Optionspreistheorie 2 Stochastic process 2 Stochastischer Prozess 2 reduced basis method (RBM) 2 A-posteriori error estimation 1 American option 1 Analysis 1 Estimation theory 1 Mathematical analysis 1 Modellierung 1 Option trading 1 Optionsgeschäft 1 PDE-constrained optimization 1 Parameter optimization 1 Reduced basis method 1 Reduced order modeling 1 Schätztheorie 1 Scientific modelling 1 Surrogate model 1 calibration 1 de-Americanization 1 error estimates 1 model reduction 1 option pricing 1 parabolic problems 1
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Undetermined 3
Type of publication
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Article 3
Type of publication (narrower categories)
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Article in journal 2 Aufsatz in Zeitschrift 2
Language
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English 2 Undetermined 1
Author
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Burkovska, Olena 1 Dihlmann, Markus 1 Glau, Kathrin 1 Haasdonk, Bernard 1 Mahlstedt, Mirco 1 Mayerhofer, Antonia Christine 1 Urban, Karsten 1 Wohlmuth, Barbara 1
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The journal of computational finance 2 Computational Optimization and Applications 1
Source
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ECONIS (ZBW) 2 RePEc 1
Showing 1 - 3 of 3
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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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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
<Para ID="Par1">We consider parameter optimization problems which are subject to constraints given by parametrized partial differential equations. Discretizing this problem may lead to a large-scale optimization problem which can hardly be solved rapidly. In order to accelerate the process of parameter...</para>
Persistent link: https://www.econbiz.de/10011241261
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