The use of computer algebra systems in a course on scientific computation is demonstrated. Various examples, such as the derivation of Newton's iteration formula, the secant method, Newton-Cotes and ...

In this paper, we introduce the extended method of moments (XMM) estimator. This estimator accommodates a more general set of moment restrictions than the standard generalized method of moments (GMM) ...

There are several optimization techniques available in PROC NLMIXED. You can choose a particular optimizer with the TECH=name option in the PROC NLMIXED statement. No algorithm for optimizing general ...

We show how algorithmic differentiation can be used to efficiently implement the pathwise derivative method for the calculation of option sensitivities using Monte Carlo simulations. The main ...