Thomas F Coleman

University of Waterloo

Waterloo, Ontario N2L 3G1

Canada

SCHOLARLY PAPERS

2

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2

Scholarly Papers (2)

1.

The Efficient Application of Automatic Differentiation for Computing Gradients in Financial Applications

Journal of Computational Finance, Vol. 19, No. 3, 2016
Number of pages: 26 Posted: 14 Jun 2016
Wei Xu, Xi Chen and Thomas F Coleman
Tong Ji University - Mathematical Department, University of North Carolina (UNC) at Chapel Hill and University of Waterloo
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Abstract:

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gradient; automatic differentiation (AD); reverse mode; Greeks; calibration; Monte Carlo method

2.

A Gradual Nonconvexification Method or Minimizing Value-at-Risk

Journal of Risk, Vol. 16, No. 3, 2014
Number of pages: 26 Posted: 08 Jun 2016
Jiong Xi, Thomas F Coleman, Yuying Li and Aditya Tayal
University of Waterloo, University of Waterloo, University of Waterloo and University of Waterloo
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value-at-risk, minimization problem