The FD= and FDHESSIAN= options specify the use of finite difference approximations of the derivatives. The FD= option specifies that all derivatives are approximated using function evaluations, and ...

We consider the problem of detecting jump location curves of regression surfaces. In the literature, most existing methods detect jumps in regression surfaces based on estimation of either the ...

This paper deals with the computation of second-order or higher Greeks of financial securities. It combines two methods, vibrato and automatic differentiation (AD), and compares these with other ...