This paper includes two parts. In the first part, general error estimates for "stable" eigenvalue approximations are obtained. These are practical in the sense that ...
The FD= and FDHESSIAN= options specify the use of finite difference approximations of the derivatives. The FD= option specifies that all derivatives are approximated using function evaluations, and ...
Proceedings of the National Academy of Sciences of the United States of America PNAS is the world's most-cited multidisciplinary scientific serial. It publishes high-impact research reports, ...
See "Nonlinear Optimization and Related Subroutines" for a listing of all NLP subroutines. See Chapter 11, "Nonlinear Optimization Examples," for a description of the inputs to and outputs of all NLP ...
Developed a CUDA version of the FDTD method and achieved a speedup 40x. Implemented on a NVIDIA Quadro FX 3800 GPU, which has 192 SPs, 1GB global memory, and a memory bandwidth of 51.2 GB/s.
In this paper a generic framework known as the minimal partial proxy simulation scheme is presented. This framework allows for a stable computation of the Monte Carlo Greeks for financial products ...
It is a pleasure to introduce the latest issue of The Journal of Computational Finance. The first two contributions focus on using novel neural network machinery to enhance classical financial ...
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