FAST GREEKS FOR MARKOV-FUNCTIONAL MODELS USING ADJOINT PDE METHODS NICK DENSON AND MARK JOSHI Abstract. This paper demonstrates how the adjoint PDE method can be used to compute Greeks in Markov-functional models. This i - Borel functional calculus - Document - PDFSEARCH.IO

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	FAST GREEKS FOR MARKOV-FUNCTIONAL MODELS USING ADJOINT PDE METHODS NICK DENSON AND MARK JOSHI Abstract. This paper demonstrates how the adjoint PDE method can be used to compute Greeks in Markov-functional models. This i Add to Reading List Document Date: 2013-08-05 02:21:40 Open Document File Size: 328,39 KB Share Result on Facebook IndustryTerm adjoint solution / medium dated product / extra dot product / type products / vector solution / computing / finance / partial differential operator / inner product / inner products / callable products / / Person Will Wright / NICK DENSON / Li / Pelsser Regenmortel / MARK JOSHI / Jäckel / Van Regenmortel / / Position Hunter / Cao / / Technology following algorithm / same algorithm / / SocialTag Operator theory Differential equations Multivariable calculus Partial differential equation Black–Scholes Eigenvalues and eigenvectors Hermitian adjoint Borel functional calculus Algebra Mathematics

FAST GREEKS FOR MARKOV-FUNCTIONAL MODELS USING ADJOINT PDE METHODS NICK DENSON AND MARK JOSHI Abstract. This paper demonstrates how the adjoint PDE method can be used to compute Greeks in Markov-functional models. This iAdd to Reading List