The FD= and FDHESSIAN= options specify the use of finite difference approximations of the derivatives. The FD= option specifies that all derivatives are approximated using function evaluations, and ...

Modeling counterparty risk is computationally challenging because it requires the simultaneous evaluation of all trades between each counterparty under both market and credit risk. We present a ...

Dynamic systems involving convolution integrals with decaying kernels, of which fractionally damped systems form a special case, are non-local in time and hence infinite dimensional. Straightforward ...