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by ShihHauTan
September 29th, 2015, 1:37 pm
Forum: Numerical Methods Forum
Topic: Hessian for Newton method for American options by front fixing
Replies: 19
Views: 5957

Hessian for Newton method for American options by front fixing

<t>Hi, thanks for the answer. To understand more, have you also used damped updating (you can check C. T. Kelley's book or paper) on each Newton's iteration to avoid oscillation problems? Sometimes this problem occurs and solution doesn't converge. You can check whether the root-finding function dec...
by ShihHauTan
September 29th, 2015, 8:40 am
Forum: Numerical Methods Forum
Topic: Hessian for Newton method for American options by front fixing
Replies: 19
Views: 5957

Hessian for Newton method for American options by front fixing

<t>QuoteOriginally posted by: financengineerIn this paper Penalty and front-fixing methods for the numerical solution of American option problems, a front fixing method based on Newton is described for an American put option is described. I am trying to implement this method but the Newton fails to ...
by ShihHauTan
September 25th, 2015, 7:53 am
Forum: Careers Forum
Topic: Does any professor in financial engineering with background in fluid dynamics?
Replies: 16
Views: 6092

Does any professor in financial engineering with background in fluid dynamics?

<t>QuoteOriginally posted by: CuchulainnQuoteOriginally posted by: ShihHauTanHi Daniel,QuoteIn engineering 90% of models are nonlinear. Why not in finance? PW and Marco A. do deal with NL stuff.May I ask some details? What's the full name of PW and Marco A.? Thanks!Hi Shih-Hau,PW == Paul Wilmott, th...
by ShihHauTan
September 24th, 2015, 2:07 pm
Forum: Careers Forum
Topic: Does any professor in financial engineering with background in fluid dynamics?
Replies: 16
Views: 6092

Does any professor in financial engineering with background in fluid dynamics?

Hi Daniel,QuoteIn engineering 90% of models are nonlinear. Why not in finance? PW and Marco A. do deal with NL stuff.May I ask some details? What's the full name of PW and Marco A.? Thanks!