Higher-Derivative Field Theories: Theories in which the Lagrangian or action includes derivatives of the fields higher than the first order, leading to additional degrees of freedom and novel ...

This paper deals with the computation of second-order or higher Greeks of financial securities. It combines two methods, vibrato and automatic differentiation (AD), and compares these with other ...

ANDREW N. NORRIS, HIGHER DERIVATIVES AND THE INVERSE DERIVATIVE OF A TENSOR-VALUED FUNCTION OF A TENSOR, Quarterly of Applied Mathematics, Vol. 66, No. 4 (December 2008), ... In order to take ...

It is one of the so-called minor Greeks used to manage higher-order risk in derivative trading, ... With that in mind, we can begin by stating that zomma is a third-order derivative.

This is computationally advantageous for highdimensional Archimedean copulas in which higher-order derivatives are needed but are often difficult to obtain. Our procedure is based on a ...