Higher Order Derivatives

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Higher Order Derivatives

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Author : Satya Mukhopadhyay
language : en
Publisher: CRC Press
Release Date : 2012-01-25

Higher Order Derivatives written by Satya Mukhopadhyay and has been published by CRC Press this book supported file pdf, txt, epub, kindle and other format this book has been release on 2012-01-25 with Mathematics categories.

The concept of higher order derivatives is useful in many branches of mathematics and its applications. As they are useful in many places, nth order derivatives are often defined directly. Higher Order Derivatives discusses these derivatives, their uses, and the relations among them. It covers higher order generalized derivatives, including the Peano, d.l.V.P., and Abel derivatives; along with the symmetric and unsymmetric Riemann, Cesàro, Borel, LP-, and Laplace derivatives. Although much work has been done on the Peano and de la Vallée Poussin derivatives, there is a large amount of work to be done on the other higher order derivatives as their properties remain often virtually unexplored. This book introduces newcomers interested in the field of higher order derivatives to the present state of knowledge. Basic advanced real analysis is the only required background, and, although the special Denjoy integral has been used, knowledge of the Lebesgue integral should suffice.

Higher Order Derivatives

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Author : Satya Mukhopadhyay
language : en
Publisher: Chapman and Hall/CRC
Release Date : 2012-01-25

Higher Order Derivatives written by Satya Mukhopadhyay and has been published by Chapman and Hall/CRC this book supported file pdf, txt, epub, kindle and other format this book has been release on 2012-01-25 with Mathematics categories.

The concept of higher order derivatives is useful in many branches of mathematics and its applications. As they are useful in many places, nth order derivatives are often defined directly. Higher Order Derivatives discusses these derivatives, their uses, and the relations among them. It covers higher order generalized derivatives, including the Pea

Higher Order Greeks

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Author : Louis H. Ederington
language : en
Publisher:
Release Date : 2006

Higher Order Greeks written by Louis H. Ederington and has been published by this book supported file pdf, txt, epub, kindle and other format this book has been release on 2006 with categories.

We examine whether any second order derivatives other than gamma and any third order derivatives are important in explaining changes in the prices of Samp;P 500 futures options over one week holding periods. We find that while gamma is normally most important, several other higher order derivatives have considerable incremental explanatory power. Particularly important in accounting for option price changes are the derivatives of delta with respect to volatility and time-to-expiration, and the derivatives of gamma with respect to the asset price, and volatility. The first three are more important for away-from-the-money options, while the fourth is most important for at-the-money options. For shorter-term options, consideration of higher order derivatives reduces the mean absolute unexplained price change by 60% for at-the-money options and by at least 75% for away-from-the-money options. We find that in spite of its theoretical problems and inability to explain the cross-sectional option price pattern (the smile), the Black-Scholes model's Greeks accurately describe the time series option price changes once higher order Greeks are incorporated. We further find that making delta-gamma-vega neutral portfolios of Samp;P 500 options neutral in terms of these four higher order Greeks leads to a substantial reduction in the risk of an unhedged price change.

Higher Order Derivatives In Linear And Quadratic Programming

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Author : Gianfranco Corradi
language : en
Publisher:
Release Date : 1998

Higher Order Derivatives In Linear And Quadratic Programming written by Gianfranco Corradi and has been published by this book supported file pdf, txt, epub, kindle and other format this book has been release on 1998 with categories.

Note On Higher Order Derivatives In Topological Linear Spaces

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Author : John Lloyd
language : en
Publisher:
Release Date : 1975

Note On Higher Order Derivatives In Topological Linear Spaces written by John Lloyd and has been published by this book supported file pdf, txt, epub, kindle and other format this book has been release on 1975 with Linear topological spaces categories.

New Formulae For Higher Order Derivatives And A New Algorithm For Numerical Integration

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Author : Richard Mikaël Slevinsky
language : en
Publisher:
Release Date : 2011

New Formulae For Higher Order Derivatives And A New Algorithm For Numerical Integration written by Richard Mikaël Slevinsky and has been published by this book supported file pdf, txt, epub, kindle and other format this book has been release on 2011 with Differential calculus categories.

On The Use Of Higher Order Derivatives And Optimization In Non Linear Models In Economics Via Automatic Derivative Evaluation

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Author : Robert E. Kalaba
language : en
Publisher:
Release Date : 1984

On The Use Of Higher Order Derivatives And Optimization In Non Linear Models In Economics Via Automatic Derivative Evaluation written by Robert E. Kalaba and has been published by this book supported file pdf, txt, epub, kindle and other format this book has been release on 1984 with categories.

New Formulae For Higher Order Derivatives And A New Algorithm For Numerical Integration

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Author : Richard Mikael Slevinsky
language : en
Publisher:
Release Date : 2013

New Formulae For Higher Order Derivatives And A New Algorithm For Numerical Integration written by Richard Mikael Slevinsky and has been published by this book supported file pdf, txt, epub, kindle and other format this book has been release on 2013 with categories.

Communications And Cryptography

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Author : Richard E. Blahut
language : en
Publisher: Springer Science & Business Media
Release Date : 2012-12-06

Communications And Cryptography written by Richard E. Blahut and has been published by Springer Science & Business Media this book supported file pdf, txt, epub, kindle and other format this book has been release on 2012-12-06 with Technology & Engineering categories.

Information theory is an exceptional field in many ways. Technically, it is one of the rare fields in which mathematical results and insights have led directly to significant engineering payoffs. Professionally, it is a field that has sustained a remarkable degree of community, collegiality and high standards. James L. Massey, whose work in the field is honored here, embodies the highest standards of the profession in his own career. The book covers the latest work on: block coding, convolutional coding, cryptography, and information theory. The 44 contributions represent a cross-section of the world's leading scholars, scientists and researchers in information theory and communication. The book is rounded off with an index and a bibliography of publications by James Massey.

On The Tail Behavior Of Higher Order Derivatives Of Smooth Distribution Functions And Quantile Functions

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Author : H. J. A. Degenhardt
language : en
Publisher:
Release Date : 1995

On The Tail Behavior Of Higher Order Derivatives Of Smooth Distribution Functions And Quantile Functions written by H. J. A. Degenhardt and has been published by this book supported file pdf, txt, epub, kindle and other format this book has been release on 1995 with categories.