Adjoint algorithmic differentiation is an efficient way to obtain financial instrument price derivatives with respect to the data inputs. Often the differentiation does not cover the full pricing ...

Dmitri Goloubentsev, Evgeny Lakshtanov and Vladimir Piterbarg explain in mathematical terms, and demonstrate using a simple example, how the automatic implicit function theorem, a special version of ...

Continuation of APPM 4440. Study of multidimensional analysis including n-dimensional Euclidean space, continuity and uniform continuity of functions of several variables, differentiation, linear and ...

Description: Multivariate calculus; partial differentiation; implicit function theorems and transformations; line and surface integrals; vector fields; theorems of Gauss, Green, and Stokes. Credit ...

Description: Multivariate calculus; partial differentiation; implicit function theorems and transformations; line and surface integrals; vector fields; theorems of Gauss, Green, and Stokes.