Abstract.The subject of this paper is the analytic approximation of solution to stochastic differential delay equations with Poisson jump. We introduce approximate methods for stochastic differential ...

Consider n i.i.d. random vectors on ${\Bbb R}^{2}$, with unknown, common distribution function F. Under a sharpening of the extreme value condition on F, we derive a weighted approximation of the ...

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 propose to use stratified approximations based on the gamma and lognormal distributions for the pricing of options on average, such as Asian options and bond prices in the Dothan model. We show ...

String theory began over 50 years ago as a way to understand the strong nuclear force. Since then, it’s grown to become a theory of everything, capable of explaining the nature of every particle, ...

Xiaojing Ye does not work for, consult, own shares in or receive funding from any company or organization that would benefit from this article, and has disclosed no relevant affiliations beyond their ...

First-order derivatives: n additional function calls are needed. Second-order derivatives based on gradient calls, when the "grd" module is specified (Dennis and Schnabel 1983): n additional gradient ...