Bayer, Christian; Ben Hammouda, Chiheb; Tempone, Raúl Numerical smoothing with hierarchical adaptive sparse grids and quasi-Monte Carlo methods for efficient option pricing. (English) Zbl 1519.91286 Quant. Finance 23, No. 2, 209-227 (2023). Reviewer: Nikolay Kyurkchiev (Plovdiv) MSC: 91G60 65C05 65D30 65D40 65D32 65Y20 91G20 PDFBibTeX XMLCite \textit{C. Bayer} et al., Quant. Finance 23, No. 2, 209--227 (2023; Zbl 1519.91286) Full Text: DOI arXiv
Gahururu, Deborah; Hintermüller, Michael; Stengl, Steven-Marian; Surowiec, Thomas M. Generalized Nash equilibrium problems with partial differential operators: theory, algorithms, and risk aversion. (English) Zbl 1507.49003 Hintermüller, Michael (ed.) et al., Non-smooth and complementarity-based distributed parameter systems. Simulation and hierarchical optimization. Cham: Birkhäuser. ISNM, Int. Ser. Numer. Math. 172, 145-181 (2022). MSC: 49J20 49J55 49K20 49K45 49M99 65K10 65K15 90C15 91A10 PDFBibTeX XMLCite \textit{D. Gahururu} et al., ISNM, Int. Ser. Numer. Math. 172, 145--181 (2022; Zbl 1507.49003) Full Text: DOI
Binder, Andreas; Jadhav, Onkar; Mehrmann, Volker Error analysis of a model order reduction framework for financial risk analysis. (English) Zbl 1492.35355 ETNA, Electron. Trans. Numer. Anal. 55, 469-507 (2022). MSC: 35Q91 35L10 65M60 91G30 91G60 91G80 PDFBibTeX XMLCite \textit{A. Binder} et al., ETNA, Electron. Trans. Numer. Anal. 55, 469--507 (2022; Zbl 1492.35355) Full Text: DOI arXiv Link
Ackley, Matthew; Stechlinski, Peter Determining key parameters in riots using lexicographic directional differentiation. (English) Zbl 1472.34082 SIAM J. Appl. Math. 81, No. 3, 1303-1331 (2021). MSC: 34C60 34A36 91D25 93B30 93B35 PDFBibTeX XMLCite \textit{M. Ackley} and \textit{P. Stechlinski}, SIAM J. Appl. Math. 81, No. 3, 1303--1331 (2021; Zbl 1472.34082) Full Text: DOI
Zhang, Chaojun; Wang, Xiaoqun; He, Zhijian Efficient importance sampling in quasi-Monte Carlo methods for computational finance. (English) Zbl 1461.65005 SIAM J. Sci. Comput. 43, No. 1, B1-B29 (2021). MSC: 65C05 65D30 91G20 91G60 PDFBibTeX XMLCite \textit{C. Zhang} et al., SIAM J. Sci. Comput. 43, No. 1, B1--B29 (2021; Zbl 1461.65005) Full Text: DOI
Papp, Tamás K.; Reiter, Michael Estimating linearized heterogeneous agent models using panel data. (English) Zbl 1517.91148 J. Econ. Dyn. Control 115, Article ID 103881, 16 p. (2020). MSC: 91B69 91B64 62P20 PDFBibTeX XMLCite \textit{T. K. Papp} and \textit{M. Reiter}, J. Econ. Dyn. Control 115, Article ID 103881, 16 p. (2020; Zbl 1517.91148) Full Text: DOI
Zhang, Chaojun; Wang, Xiaoqun Quasi-Monte Carlo-based conditional pathwise method for option Greeks. (English) Zbl 1431.91437 Quant. Finance 20, No. 1, 49-67 (2020). MSC: 91G60 65C05 91G20 PDFBibTeX XMLCite \textit{C. Zhang} and \textit{X. Wang}, Quant. Finance 20, No. 1, 49--67 (2020; Zbl 1431.91437) Full Text: DOI
Naveiro, Roi; Ríos Insua, David Gradient methods for solving Stackelberg games. (English) Zbl 1431.91072 Pekeč, Saša (ed.) et al., Algorithmic decision theory. 6th international conference, ADT 2019, Durham, NC, USA, October 25–27, 2019. Proceedings. Cham: Springer. Lect. Notes Comput. Sci. 11834, 126-140 (2019). MSC: 91A65 91A68 PDFBibTeX XMLCite \textit{R. Naveiro} and \textit{D. Ríos Insua}, Lect. Notes Comput. Sci. 11834, 126--140 (2019; Zbl 1431.91072) Full Text: DOI arXiv
Fries, Christian P. Stochastic automatic differentiation: automatic differentiation for Monte-Carlo simulations. (English) Zbl 1420.91507 Quant. Finance 19, No. 6, 1043-1059 (2019). MSC: 91G60 65C05 60H15 PDFBibTeX XMLCite \textit{C. P. Fries}, Quant. Finance 19, No. 6, 1043--1059 (2019; Zbl 1420.91507) Full Text: DOI
He, Zhijian On the error rate of conditional quasi-Monte Carlo for discontinuous functions. (English) Zbl 1417.65114 SIAM J. Numer. Anal. 57, No. 2, 854-874 (2019). Reviewer: Josef Kofroň (Praha) MSC: 65D30 65C05 41A63 91G60 PDFBibTeX XMLCite \textit{Z. He}, SIAM J. Numer. Anal. 57, No. 2, 854--874 (2019; Zbl 1417.65114) Full Text: DOI arXiv
Sun, Yutec; Ishihara, Masakazu A computationally efficient fixed point approach to dynamic structural demand estimation. (English) Zbl 1452.62962 J. Econom. 208, No. 2, 563-584 (2019). MSC: 62P20 62F15 91B42 PDFBibTeX XMLCite \textit{Y. Sun} and \textit{M. Ishihara}, J. Econom. 208, No. 2, 563--584 (2019; Zbl 1452.62962) Full Text: DOI Link
Gudmundsson, Hilmar; Vyncke, David On the calibration of the 3/2 model. (English) Zbl 1431.91394 Eur. J. Oper. Res. 276, No. 3, 1178-1192 (2019). MSC: 91G20 91G70 60H30 62P05 PDFBibTeX XMLCite \textit{H. Gudmundsson} and \textit{D. Vyncke}, Eur. J. Oper. Res. 276, No. 3, 1178--1192 (2019; Zbl 1431.91394) Full Text: DOI Link
Daluiso, Roberto; Facchinetti, Giorgio Algorithmic differentiation for discontinuous payoffs. (English) Zbl 1395.91495 Int. J. Theor. Appl. Finance 21, No. 4, Article ID 1850019, 41 p. (2018). MSC: 91G60 65C05 60H07 91G20 PDFBibTeX XMLCite \textit{R. Daluiso} and \textit{G. Facchinetti}, Int. J. Theor. Appl. Finance 21, No. 4, Article ID 1850019, 41 p. (2018; Zbl 1395.91495) Full Text: DOI
Tan, Shih-Hau; Lai, Choi-Hong Newton-based solvers for nonlinear PDEs in finance. (English) Zbl 1420.91523 Ehrhardt, Matthias (ed.) et al., Novel methods in computational finance. Cham: Springer. Math. Ind. 25, 229-242 (2017). MSC: 91G60 65M06 35Q91 PDFBibTeX XMLCite \textit{S.-H. Tan} and \textit{C.-H. Lai}, Math. Ind. 25, 229--242 (2017; Zbl 1420.91523) Full Text: DOI
Beinker, Mark; Schlenkrich, Sebastian Accurate vega calculation for Bermudan swaptions. (English) Zbl 1420.91448 Ehrhardt, Matthias (ed.) et al., Novel methods in computational finance. Cham: Springer. Math. Ind. 25, 65-82 (2017). MSC: 91G20 PDFBibTeX XMLCite \textit{M. Beinker} and \textit{S. Schlenkrich}, Math. Ind. 25, 65--82 (2017; Zbl 1420.91448) Full Text: DOI
Levintal, Oren Fifth-order perturbation solution to DSGE models. (English) Zbl 1401.91245 J. Econ. Dyn. Control 80, 1-16 (2017). MSC: 91B51 91B70 91-04 PDFBibTeX XMLCite \textit{O. Levintal}, J. Econ. Dyn. Control 80, 1--16 (2017; Zbl 1401.91245) Full Text: DOI
Geeraert, Sébastien; Lehalle, Charles-Albert; Pearlmutter, Barak A.; Pironneau, Olivier; Reghai, Adil Mini-symposium on automatic differentiation and its applications in the financial industry. (English) Zbl 1407.91268 ESAIM, Proc. Surv. 59, 56-75 (2017). MSC: 91G60 91G20 65M99 35Q91 PDFBibTeX XMLCite \textit{S. Geeraert} et al., ESAIM, Proc. Surv. 59, 56--75 (2017; Zbl 1407.91268) Full Text: DOI arXiv
Joshi, Mark S.; Zhu, Dan Optimal partial proxy method for computing gammas of financial products with discontinuous and angular payoffs. (English) Zbl 1396.91801 Appl. Math. Finance 23, No. 1-2, 22-56 (2016). MSC: 91G60 91G20 65C05 PDFBibTeX XMLCite \textit{M. S. Joshi} and \textit{D. Zhu}, Appl. Math. Finance 23, No. 1--2, 22--56 (2016; Zbl 1396.91801) Full Text: DOI
Joshi, Mark S.; Zhu, Dan The efficient computation and the sensitivity analysis of finite-time ruin probabilities and the estimation of risk-based regulatory capital. (English) Zbl 1390.91191 ASTIN Bull. 46, No. 2, 431-467 (2016). MSC: 91B30 62P05 91G60 PDFBibTeX XMLCite \textit{M. S. Joshi} and \textit{D. Zhu}, ASTIN Bull. 46, No. 2, 431--467 (2016; Zbl 1390.91191) Full Text: DOI
Joshi, Mark S.; Zhu, Dan An exact method for the sensitivity analysis of systems simulated by rejection techniques. (English) Zbl 1346.90254 Eur. J. Oper. Res. 254, No. 3, 875-888 (2016). MSC: 90B22 90C31 65K05 65C05 91G20 PDFBibTeX XMLCite \textit{M. S. Joshi} and \textit{D. Zhu}, Eur. J. Oper. Res. 254, No. 3, 875--888 (2016; Zbl 1346.90254) Full Text: DOI
Moazeni, Somayeh; Coleman, Thomas F.; Li, Yuying Smoothing and parametric rules for stochastic mean-CVaR optimal execution strategy. (English) Zbl 1336.90067 Ann. Oper. Res. 237, No. 1-2, 99-120 (2016). MSC: 90C15 90C39 91B30 PDFBibTeX XMLCite \textit{S. Moazeni} et al., Ann. Oper. Res. 237, No. 1--2, 99--120 (2016; Zbl 1336.90067) Full Text: DOI
Hu, Wenbin; Li, Shenghong Fast Greeks by simulation: the block adjoint method with memory reduction. (English) Zbl 1307.91190 J. Comput. Appl. Math. 274, 70-78 (2015). MSC: 91G60 65C05 91G20 PDFBibTeX XMLCite \textit{W. Hu} and \textit{S. Li}, J. Comput. Appl. Math. 274, 70--78 (2015; Zbl 1307.91190) Full Text: DOI
Roustant, O.; Fruth, J.; Iooss, Bertrand; Kuhnt, Sonja Crossed-derivative based sensitivity measures for interaction screening. (English) Zbl 07312642 Math. Comput. Simul. 105, 105-118 (2014). MSC: 91-XX 93-XX PDFBibTeX XMLCite \textit{O. Roustant} et al., Math. Comput. Simul. 105, 105--118 (2014; Zbl 07312642) Full Text: DOI HAL
Geng, Jian; Navon, I. Michael; Chen, Xiao Non-parametric calibration of the local volatility surface for European options using a second-order Tikhonov regularization. (English) Zbl 1294.91187 Quant. Finance 14, No. 1, 73-85 (2014). MSC: 91G60 91G20 65F22 65M30 PDFBibTeX XMLCite \textit{J. Geng} et al., Quant. Finance 14, No. 1, 73--85 (2014; Zbl 1294.91187) Full Text: DOI
Griewank, Andreas; Lehmann, Lutz; Leovey, Hernan; Zilberman, Marat Automatic evaluations of cross-derivatives. (English) Zbl 1278.65022 Math. Comput. 83, No. 285, 251-274 (2014). MSC: 65D25 68W30 65C05 65T50 91G60 65Y20 PDFBibTeX XMLCite \textit{A. Griewank} et al., Math. Comput. 83, No. 285, 251--274 (2014; Zbl 1278.65022) Full Text: DOI
Chan, Jiun Hong; Joshi, Mark Fast Monte Carlo Greeks for financial products with discontinuous pay-offs. (English) Zbl 1280.91191 Math. Finance 23, No. 3, 459-495 (2013). Reviewer: Vassil Grozdanov (Blagoevgrad) MSC: 91G60 65C35 65C60 11K45 65D25 65D30 91B70 91G20 PDFBibTeX XMLCite \textit{J. H. Chan} and \textit{M. Joshi}, Math. Finance 23, No. 3, 459--495 (2013; Zbl 1280.91191) Full Text: DOI
Schlenkrich, Sebastian Efficient calibration of the Hull White model. (English) Zbl 1277.93013 Optim. Control Appl. Methods 33, No. 3, 352-362 (2012). MSC: 93A30 91B24 93C10 90C30 PDFBibTeX XMLCite \textit{S. Schlenkrich}, Optim. Control Appl. Methods 33, No. 3, 352--362 (2012; Zbl 1277.93013) Full Text: DOI
Kleppe, Tore Selland; Skaug, Hans Julius Fitting general stochastic volatility models using Laplace accelerated sequential importance sampling. (English) Zbl 1254.91599 Comput. Stat. Data Anal. 56, No. 11, 3105-3119 (2012). MSC: 91B82 62D05 PDFBibTeX XMLCite \textit{T. S. Kleppe} and \textit{H. J. Skaug}, Comput. Stat. Data Anal. 56, No. 11, 3105--3119 (2012; Zbl 1254.91599) Full Text: DOI
Joshi, Mark; Wiguna, Alexander Accelerating pathwise Greeks in the LIBOR market model. (English) Zbl 1282.91375 Int. J. Theor. Appl. Finance 15, No. 2, Article ID 1250012, 33 p. (2012). MSC: 91G60 91G20 PDFBibTeX XMLCite \textit{M. Joshi} and \textit{A. Wiguna}, Int. J. Theor. Appl. Finance 15, No. 2, Article ID 1250012, 33 p. (2012; Zbl 1282.91375) Full Text: DOI
Joshi, Mark; Yang, Chao Fast delta computations in the swap-rate market model. (English) Zbl 1209.91168 J. Econ. Dyn. Control 35, No. 5, 764-775 (2011). MSC: 91G60 91G20 91G30 PDFBibTeX XMLCite \textit{M. Joshi} and \textit{C. Yang}, J. Econ. Dyn. Control 35, No. 5, 764--775 (2011; Zbl 1209.91168) Full Text: DOI
Rückelt, J.; Sauerland, V.; Slawig, T.; Srivastav, A.; Ward, B.; Patvardhan, C. Parameter optimization and uncertainty analysis in a model of oceanic CO\(_2\) uptake using a hybrid algorithm and algorithmic differentiation. (English) Zbl 1197.90358 Nonlinear Anal., Real World Appl. 11, No. 5, 3993-4009 (2010). MSC: 90C90 91B76 90C59 90C53 90C55 PDFBibTeX XMLCite \textit{J. Rückelt} et al., Nonlinear Anal., Real World Appl. 11, No. 5, 3993--4009 (2010; Zbl 1197.90358) Full Text: DOI
Lewis, Kurt F. The two-period rational inattention model: Accelerations and analyses. (English) Zbl 1170.91315 Comput. Econ. 33, No. 1, 79-97 (2009). MSC: 91A26 90C25 PDFBibTeX XMLCite \textit{K. F. Lewis}, Comput. Econ. 33, No. 1, 79--97 (2009; Zbl 1170.91315) Full Text: DOI Link
Kočvara, Michal; Outrata, Jiří V. Optimization problems with equilibrium constraints and their numerical solution. (English) Zbl 1076.90058 Math. Program. 101, No. 1 (B), 119-149 (2004). MSC: 90C33 49J40 65K05 90C30 91A10 91A65 PDFBibTeX XMLCite \textit{M. Kočvara} and \textit{J. V. Outrata}, Math. Program. 101, No. 1 (B), 119--149 (2004; Zbl 1076.90058) Full Text: DOI
Meyer, Renate; Fournier, David A.; Berg, Andreas Stochastic volatility: Bayesian computation using automatic differentiation and the extended Kalman filter. (English) Zbl 1065.91533 Econom. J. 6, No. 2, 408-420 (2003). MSC: 91B28 91B82 91B84 62F15 62P05 PDFBibTeX XMLCite \textit{R. Meyer} et al., Econom. J. 6, No. 2, 408--420 (2003; Zbl 1065.91533) Full Text: DOI