Gradient Descent: This article describes how to implement a gradient descent using the differential approach (2D example implementation), then, using the perturbation approach (3D example ...

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Repeated convolution and truncation of a truncated fat-tailed distribution, instead of Monte Carlo simulation, for pricing a discrete, simple barrier option is presented. The parameters for the ...

This paper describes a new algorithm for the selection of the pivot row in matrix inversion when using the product form of the inverse. This algorithm has been developed for linear programming codes; ...

Abstract: The procedure for cleaning weak inequalities in the Fourier-Chernikov algorithm for convolution of a system of linear inequalities is considered. An algorithm for identifying all weak ...