Further Maths

Tom Hyer
Additional contact information
Tom Hyer: UBS, United Kingdom

Chapter 7 in Derivatives Algorithms:Volume 1: Bones, 2010, pp 97-137 from World Scientific Publishing Co. Pte. Ltd.

Abstract: AbstractThe following sections are included:InterpolationSpecial FunctionsThe Normal DistributionRoot SolversUnderdetermined SearchFunction and JacobianWeights and SmoothingMonitoring ProgressQuadratureGaussian QuadratureAdaptive QuadratureDistributionsImplied VolBasketsWhole-Basket Moment MatchingTaylor Expansion of Projected VolsMidpoint VarianceRandom and Quasi-Random NumbersRandom Deviate StreamsGenerator ImplementationTransformsLow-Discrepancy SequencesSpectral and Spining MethodsPDE SolversCubeCoordinate MappingCoefficient CalculatorsForward InductionAmerican Monte CarloRecursive PartitioningBiases

Keywords: Derivatives; Algorithms; Coding; Protocols; Interfaces; Persistence; Indices; Underdetermined; Multiple Dispatch; Code Generation; Extensibility (search for similar items in EconPapers)
Date: 2010
References: Add references at CitEc
Citations:

Downloads: (external link)
https://www.worldscientific.com/doi/pdf/10.1142/9789814289887_0007 (application/pdf)
https://www.worldscientific.com/doi/abs/10.1142/9789814289887_0007 (text/html)
Ebook Access is available upon purchase.

Related works:
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: https://EconPapers.repec.org/RePEc:wsi:wschap:9789814289887_0007

Ordering information: This item can be ordered from

Access Statistics for this chapter

More chapters in World Scientific Book Chapters from World Scientific Publishing Co. Pte. Ltd.
Bibliographic data for series maintained by Tai Tone Lim ().