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Homescu, Cristian's
Scholarly Papers
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Aggregate Statistics |
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Total
Downloads
2,566 |
Total
Citations
3 |
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1.
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Homescu, Cristian
affiliation not provided to SSRN
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1,196
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volatility surface, dynamics of implied volatility, stochastic volatility models, local stochastic volatility models, calibration, numerical methods, optimization, computational efficiency
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2.
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Homescu, Cristian
affiliation not provided to SSRN
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02 May 11
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Last Revised:
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12 Sep 11
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825
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Adjoint, Automatic Differentiation, Algorithmic Differentiation, Monte Carlo, Greeks, Calibration, computational efficiency
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3.
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Homescu, Cristian
affiliation not provided to SSRN
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03 Sep 11
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Last Revised:
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12 Sep 11
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545
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Greeks, complex-step derivative approximation, adjoint, automatic differentiation, algorithmic differentiation, risk management, accuracy, computational efficiency
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Records 1 -
3
of 3 matches
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