5 citations · 6 across the 2 of their papers we have counts for
2 papers
q-fin.CP2011★ 1 cited
Implied Volatility Surface: Construction Methodologies and Characteristics
Cristian Homescu
The implied volatility surface (IVS) is a fundamental building block in computational finance. We provide a survey of methodologies for constructing such surfaces. We also discuss…
q-fin.CP2011★ 5 cited
Adjoints and Automatic (Algorithmic) Differentiation in Computational Finance
Cristian Homescu
Two of the most important areas in computational finance: Greeks and, respectively, calibration, are based on efficient and accurate computation of a large number of sensitivities.…