Algorithmic Hessians and the Fast Computation of Cross-Gamma Risk
Year of publication: |
2010
|
---|---|
Authors: | Joshi, Mark S. |
Other Persons: | Yang, Chao (contributor) |
Publisher: |
[2010]: [S.l.] : SSRN |
Subject: | Theorie | Theory | Mathematische Optimierung | Mathematical programming | Algorithmus | Algorithm |
Extent: | 1 Online-Ressource (21 p) |
---|---|
Type of publication: | Book / Working Paper |
Language: | English |
Notes: | Nach Informationen von SSRN wurde die ursprüngliche Fassung des Dokuments June 18, 2010 erstellt |
Other identifiers: | 10.2139/ssrn.1626547 [DOI] |
Classification: | G13 - Contingent Pricing; Futures Pricing |
Source: | ECONIS - Online Catalogue of the ZBW |
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