Now showing items 12-15 of 15

• #### Reconstructing the Unknown Local Volatility Function ﻿

(Cornell University, 2003-01-23)
Using market European option prices, a method for computing a smooth local volatility function in a 1-factor continuous diffusion model is proposed. Smoothness is introduced to facilitate accurate approximation of the ...
• #### Reconstructing the unknown volatility function ﻿

(Cornell University, 1998-09)
Using market European option prices, a method for computing a {\em smooth} local volatility function in a 1-factor continuous diffusion model is proposed. Smoothness is introduced to facilitate accurate approximation of ...
• #### Structure and Efficient Hessian Calculation ﻿

(Cornell University, 1996-08)
Modern methods for numerical optimization calculate (or approximate) the matrix of second derivatives, the Hessian matrix, at each iteration. The recent arrival of robust software for automatic differentiation allows for ...
• #### Structure and Efficient Jacobian Calculation ﻿

(Cornell University, 1996-03)
Many computational tasks require the determination of the Jacobian matrix, at a given argument, for a large nonlinear system of equations. Calculation or approximation of a Newton step is a related task. The development ...