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Vibrato and automatic differentiation for high order derivatives and sensitivities of financial options.
Gilles Pagès
Olivier Pironneau
Guillaume Sall
Published in:
CoRR (2016)
Keyphrases
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high order
higher order
low order
pairwise
image processing
zernike moments
lower order
markov random field
tensor analysis
stock market
multi task learning
markov models
machine learning
partial differential equations
bayesian logistic regression