70 citations · 97 across the 17 of their papers we have counts for
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math.NA2015
Data driven recovery of local volatility surfaces
Vinicius Albani, Uri M. Ascher, Xu Yang +1
This paper examines issues of data completion and location uncertainty, popular in many practical PDE-based inverse problems, in the context of option calibration via recovery of l…
math.OC2015★ 1 cited
Numerical Computation of the Gradient and the Action of the Hessian for Time-Dependent PDE-Constrained Optimization Problems
Kai Rothauge, Eldad Haber, Uri Ascher
We present a systematic derivation of the algorithms required for computing the gradient and the action of the Hessian of an arbitrary misfit function for large-scale parameter est…