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The exponent expansion : an effective approximation of transition probabilities of diffusion processes and pricing Kernels of financial derivatives
Capriotti, Luca - In: International journal of theoretical and applied finance 9 (2006) 7, pp. 1179-1200
Persistent link: https://www.econbiz.de/10003395996
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15 years of Adjoint Algorithmic Differentiation (AAD) in finance
Capriotti, Luca; Giles, Mike - In: Quantitative finance 24 (2024) 9, pp. 1353-1379
Persistent link: https://www.econbiz.de/10015196929