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 ...

Finite-difference approximations for the first derivative, valid halfway between equidistant gridpoints, are in general much more accurate than the corresponding approximations, which are valid at ...

Convergence results for bounded time intervals are well known for finite difference approximations to the Cauchy problem for hyperbolic equations. These results typically state that if the initial ...

Developed a CUDA version of the FDTD method and achieved a speedup 40x. Implemented on a NVIDIA Quadro FX 3800 GPU, which has 192 SPs, 1GB global memory, and a memory bandwidth of 51.2 GB/s.

In this paper a generic framework known as the minimal partial proxy simulation scheme is presented. This framework allows for a stable computation of the Monte Carlo Greeks for financial products ...