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- W94487411 abstract "Solving optimization problems with partial integro-differential equations can be a challenging task from a theoretical but also numerical point of view. These equations arise e.g. in jump-diffusion models for the pricing of financial derivatives. We provide a formulation of calibration problems for financial market models in a proper mathematical framework. In the sequel we also address the issue of an efficient numerical solution of these problems. The main focus lies in the adequate use of reduced order models in order to achieve a computationally tractable optimization problem." @default.
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- W94487411 date "2014-01-01" @default.
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- W94487411 title "Adaptive Trust-Region POD Methods in PIDE-Constrained Optimization" @default.
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- W94487411 doi "https://doi.org/10.1007/978-3-319-05083-6_20" @default.
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