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 ...

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 ...

Abstract: The implicit function theorem is used to obtain some necessary and sufficient conditions, for which an implicit constitutive relation can be solved in terms of the stresses and strains, in ...