Results 191 to 200 of about 111,305 (313)

Entropy Maximization, Time Emergence, and Phase Transition. [PDF]

Entropy (Basel)
Smith J.
europepmc   +1 more source

Higher Order Iteration Schemes for Unconstrained Optimization

, 2011
Yangyang Shi, Ping-Qi PAN
openalex   +2 more sources

A nonmonotone hybrid conjugate gradient method for unconstrained optimization [PDF]

, 2015
Wenyu Li, Yueting Yang
openalex   +1 more source

A Pure Dual Approach for Hedging Bermudan Options

Mathematical Finance, EarlyView.
ABSTRACT This paper develops a new dual approach to compute the hedging portfolio of a Bermudan option and its initial value. It gives a “purely dual” algorithm following the spirit of Rogers in the sense that it only relies on the dual pricing formula.
Aurélien Alfonsi, Ahmed Kebaier, Jérôme Lelong   +2 more
wiley   +1 more source

Unconstrained Optimization, 3rd edition [PDF]

, 2004
Frandsen, P. E., Jonasson, K., Nielsen, Hans Bruun, Tingleff, Ole   +3 more
core  

A New Descent Nonlinear Conjugate Gradient Method for Unconstrained Optimization

, 2011
Hao Fan, Zhibin Zhu, Anwa Zhou
openalex   +2 more sources

Hedging of Fixing Exposure

Mathematical Finance, EarlyView.
ABSTRACT FX fixings are an indispensable and widely used reference rate in a market that trades continuously without an official close. Yet, a dealer's handling of fix transactions is a much debated topic. Especially when exposure to the fix is large relative to available market liquidity and hedging may extend to the pre‐fix window, an inherent ...
Johannes Muhle‐Karbe, Roel Oomen, Benjamin Weber   +2 more
wiley   +1 more source

Seismic traveltime inversion with quantum annealing. [PDF]

Sci Rep
Nguyen HA, Tura A.
europepmc   +1 more source

On the Complexity of Local Search in Unconstrained Quadratic Binary Optimization [PDF]

, 2016
Dávid Papp
openalex   +1 more source

Partial Observability of Implied Volatility Matrices: Identification and Covolatilities Filtering

Mathematical Finance, EarlyView.
ABSTRACT Whereas data on implied volatilities are available for a large number of assets, this is less frequently the case of implied covolatilities. We introduce a new approach based on static and dynamic Wishart models to solve this problem of missing data.
Christian Gouriéroux, Yang Lu
wiley   +1 more source