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Optimal investment : bounds and heuristics
Rogers, Leonard C. G.; Zaczkowski, P. - In: The journal of computational finance 19 (2015/2016) 2, pp. 1-28
Persistent link: https://www.econbiz.de/10011442629
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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
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The efficient application of automatic differentiation for computing gradients in financial applications
Xu, Wei; Chen, Xi; Coleman, Thomas F. - In: The journal of computational finance 19 (2016) 3, pp. 71-96
Persistent link: https://www.econbiz.de/10011563485
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Second-order Monte Carlo sensitivities
Daluiso, Roberto - In: The journal of computational finance 23 (2020) 4, pp. 61-91
Persistent link: https://www.econbiz.de/10012212482