The chain rule and change of variable for the Denjoy integral

1983 ◽  
Vol 9 (1) ◽  
pp. 138
Author(s):  
Foran
Keyword(s):  
Chain Rule ◽  
Denjoy Integral ◽  
Change Of Variable

Improved correlation dimension estimates through change of variable

1992 ◽  
Vol 163 (4) ◽  
pp. 269-274 ◽  
Author(s):  
M. Lefranc ◽  
D. Hennequin ◽  
P. Glorieux
Keyword(s):  
Correlation Dimension ◽  
Change Of Variable

COMPOSITIONS AND THE CHAIN RULE USING ARROW DIAGRAMS

PRIMUS ◽  
1995 ◽  
Vol 5 (3) ◽  
pp. 291-295 ◽  
Author(s):  
J. B. Thoo
Keyword(s):  
Chain Rule ◽  
Arrow Diagrams

scholarly journals r-Dependence in Two-Point Orientation Coherence Functions

2000 ◽  
Vol 34 (4) ◽  
pp. 233-241
Author(s):  
Peter R. Morris
Keyword(s):  
Correlation Function ◽  
Weight Function ◽  
Bessel Functions ◽  
Unit Weight ◽  
Experimental Procedure ◽  
Change Of Variable

Functions are derived, which are orthonormal on the range r=0, 1, with weight function corresponding to the distribution of r in a typical experimental procedure for measurement of the two-point orientation–coherence (or orientation–correlation) function. These are obtained by making an appropriate change of variable in spherical Bessel functions, orthonormal on the range r=0, 1, with unit weight function. The effects of weight function and change of variable on the functions are considered.

ON THE VALUATION OF DERIVATIVES WITH SNAPSHOT RESET FEATURES

2008 ◽  
Vol 11 (08) ◽  
pp. 905-941 ◽  
Author(s):  
ERIC C. K. YU ◽  
WILLIAM T. SHAW
Keyword(s):  
Convertible Bonds ◽  
Convertible Bond ◽  
Put Options ◽  
Risk Characteristics ◽  
Black Scholes ◽  
Barrier Type ◽  
Simple Change ◽  
Discontinuous Nature ◽  
Change Of Variable ◽  
Digital Options

We propose a general approach that requires only a simple change of variable that keeps the valuation of call and put options (convertible bonds) with strike (conversion) price resets two-dimensional in the classical Black–Scholes setting. A link between reset derivatives, compound options and "discrete barrier" type options, when there is one reset is then discussed, from which we analyze the risk characteristics of reset derivatives, which can be significantly different from their vanilla counterparts. We also generalize the prototype reset structure and show that the delta and gamma of a convertible bond with reset can both be negative. Finally, we show that the "waviness" property found in the delta and gamma of some reset derivatives is due to the discontinuous nature of the reset structure, which is closely linked to digital options.

A chain rule for multivariate divided differences

2010 ◽  
Vol 50 (3) ◽  
pp. 577-586 ◽  
Author(s):  
Michael S. Floater
Keyword(s):  
Chain Rule ◽  
Divided Differences ◽  
A Chain
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