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A simple equation solver and its application to financial modelling

Authors: Christopher J. Van Wyk; Emanuel Derman;

A simple equation solver and its application to financial modelling

Abstract

AbstractWe discuss a simple algorithm for solving sets of simultaneous equations. The algorithm can solve systems of linear and some kinds of non‐linear equations, although it has nowhere near the power of a general non‐linear equation solver. Its principal advantages over more general algorithms are simplicity and speed. Versions of the algorithm have been used in a graphics language and in a system for interactively modifying the equations that constitute financial models. We discuss the second application in more detail here.

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Keywords

financial models, Numerical computation of solutions to systems of equations, Other matrix algorithms, graphics language, Symbolic computation and algebraic computation, Finance etc., nonlinear equations, non-procedural languages, linear equations, Simulation, algebraic simplification, algorithm for solving sets of simultaneous equations

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selected citations
These citations are derived from selected sources.
This is an alternative to the "Influence" indicator, which also reflects the overall/total impact of an article in the research community at large, based on the underlying citation network (diachronically).
BIP!Citations provided by BIP!
popularity
This indicator reflects the "current" impact/attention (the "hype") of an article in the research community at large, based on the underlying citation network.
BIP!Popularity provided by BIP!
influence
This indicator reflects the overall/total impact of an article in the research community at large, based on the underlying citation network (diachronically).
BIP!Influence provided by BIP!
impulse
This indicator reflects the initial momentum of an article directly after its publication, based on the underlying citation network.
BIP!Impulse provided by BIP!
9
Average
Top 10%
Average
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