Dmitri Goloubentsev, Evgeny Lakshtanov and Vladimir Piterbarg explain in mathematical terms, and demonstrate using a simple example, how the automatic implicit function theorem, a special version of ...

This is a preview. Log in through your library . Abstract In this paper we introduce the concept of strong approximation of functions, and a related concept of strong Bouligand (B-) derivative, and we ...

Adjoint algorithmic differentiation is an efficient way to obtain financial instrument price derivatives with respect to the data inputs. Often the differentiation does not cover the full pricing ...

The delta method and continuous mapping theorem are among the most extensively used tools in asymptotic derivations in econometrics. Extensions of these methods are provided for sequences of functions ...