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 ...

We combine a "global" version of the classical inverse function theorem with Schauder's fixed point theorem to investigate the existence and continuity properties of a function $(F, x) \rightarrow ...

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 ...

In mathematics, it often happens that baroque, highly technical results disguise beautiful underlying principles. This talk traces the path from the elegant contraction mapping principle to the rather ...

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 ...