{"entities":{"Q964678":{"pageid":966526,"ns":120,"title":"Item:Q964678","lastrevid":77700728,"modified":"2026-05-06T09:52:30Z","type":"item","id":"Q964678","labels":{"en":{"language":"en","value":"Adjoint-based Monte Carlo calibration of financial methods"}},"descriptions":{"en":{"language":"en","value":"scientific article; zbMATH DE number 5697468"}},"aliases":{},"claims":{"P31":[{"mainsnak":{"snaktype":"value","property":"P31","hash":"fd5912e4dab4b881a8eb0eb27e7893fef55176ad","datavalue":{"value":{"entity-type":"item","numeric-id":56887,"id":"Q56887"},"type":"wikibase-entityid"},"datatype":"wikibase-item"},"type":"statement","id":"Q964678$05F9D7DC-BE44-457F-9F3A-B17276FC46B6","rank":"normal"}],"P159":[{"mainsnak":{"snaktype":"value","property":"P159","hash":"c4faf22a0ae430c86d15734c9a6133484e9ac99d","datavalue":{"value":{"text":"Adjoint-based Monte Carlo calibration of financial methods","language":"en"},"type":"monolingualtext"},"datatype":"monolingualtext"},"type":"statement","id":"Q964678$F909DFFA-AC65-4243-85D6-2DC11FCED003","rank":"normal"}],"P225":[{"mainsnak":{"snaktype":"value","property":"P225","hash":"3c4295b05e77b710bfc158c78b28049d7dba6c68","datavalue":{"value":"1199.91212","type":"string"},"datatype":"external-id"},"type":"statement","id":"Q964678$F191F384-5A27-485F-BB9F-FD433B01F21D","rank":"normal"}],"P16":[{"mainsnak":{"snaktype":"value","property":"P16","hash":"595e566ae39b0465999656415f5f90797dd3e1e8","datavalue":{"value":{"entity-type":"item","numeric-id":964677,"id":"Q964677"},"type":"wikibase-entityid"},"datatype":"wikibase-item"},"type":"statement","id":"Q964678$0CC0138C-492F-4B8C-9E9F-5D8E4AC596C9","rank":"normal"},{"mainsnak":{"snaktype":"value","property":"P16","hash":"8eabb2335453b23da9e79b0ec5a231bdc8bdb5be","datavalue":{"value":{"entity-type":"item","numeric-id":2272290,"id":"Q2272290"},"type":"wikibase-entityid"},"datatype":"wikibase-item"},"type":"statement","id":"Q964678$CC5FB5AA-531C-4CEB-9BB4-65A9FA2533FF","rank":"normal"},{"mainsnak":{"snaktype":"value","property":"P16","hash":"06f61a82832e17eb3f03d34b1887e2ab117a5ba4","datavalue":{"value":{"entity-type":"item","numeric-id":427368,"id":"Q427368"},"type":"wikibase-entityid"},"datatype":"wikibase-item"},"type":"statement","id":"Q964678$ACC32CE6-C43A-42F1-AD10-64D706C361E9","rank":"normal"}],"P200":[{"mainsnak":{"snaktype":"value","property":"P200","hash":"fc3cbe8cf287fdb2a81bc60a8afce4592cfe9e54","datavalue":{"value":{"entity-type":"item","numeric-id":135345,"id":"Q135345"},"type":"wikibase-entityid"},"datatype":"wikibase-item"},"type":"statement","id":"Q964678$0FFBD274-AB0D-4864-9F80-A8BA33771F54","rank":"normal"}],"P28":[{"mainsnak":{"snaktype":"value","property":"P28","hash":"2f02be9883d625fd3319136e8ae50da56a98c787","datavalue":{"value":{"time":"+2010-04-22T00:00:00Z","timezone":0,"before":0,"after":0,"precision":11,"calendarmodel":"http://www.wikidata.org/entity/Q1985727"},"type":"time"},"datatype":"time"},"type":"statement","id":"Q964678$81A6B950-2E5E-4360-B1E3-D7F937FCC9B4","rank":"normal"}],"P1448":[{"mainsnak":{"snaktype":"value","property":"P1448","hash":"471f678f482cf4ed148b0f566b978e6cba70677d","datavalue":{"value":"Adjoint methods allow to quickly compute option sensitivities with respect to a large number of model parameters. The authors illustrate for the case of calibrating a general \\(L\\)-dimensional diffusion model to a given set of call option prices that it is possible to successfully implement an adjoint-based Monte-Carlo algorithm. After discretizing the problem in the sense of a sample average approximation and smoothing out potential nondifferentiabilities they obtain an approximation of the original calibration problem with continuously differentiable coefficient functions. Then the convergence results for the solutions of subproblems are obtained. Some algorithmic and computational issues regarding the implementation of the optimization algorithm are discussed and the derivation of the adjoint equation in the discretized diffusion model is studied.","type":"string"},"datatype":"string"},"type":"statement","id":"Q964678$16FA00D3-F359-4646-BC60-97F73F610104","rank":"normal"}],"P1447":[{"mainsnak":{"snaktype":"value","property":"P1447","hash":"fe109cf65b5e526b78e778f4289ef05f064c0043","datavalue":{"value":{"entity-type":"item","numeric-id":590139,"id":"Q590139"},"type":"wikibase-entityid"},"datatype":"wikibase-item"},"type":"statement","id":"Q964678$ABA78365-19F1-4B7F-8964-40F059B6FDCE","rank":"normal"}],"P226":[{"mainsnak":{"snaktype":"value","property":"P226","hash":"82cd6ba3de809c77ad4ab5a51dd4d14c3b158a01","datavalue":{"value":"91G20","type":"string"},"datatype":"external-id"},"type":"statement","id":"Q964678$5074873D-7819-4E14-8C9D-4F50F5FF22B3","rank":"normal"},{"mainsnak":{"snaktype":"value","property":"P226","hash":"63aec181f5f25f527f4a50518ef030353abadcda","datavalue":{"value":"65C05","type":"string"},"datatype":"external-id"},"type":"statement","id":"Q964678$491C9E20-3AA7-4431-89A2-3615C1868D3F","rank":"normal"},{"mainsnak":{"snaktype":"value","property":"P226","hash":"418d4d19aa7c87e33d52e580c9c108a1bc2de096","datavalue":{"value":"90C90","type":"string"},"datatype":"external-id"},"type":"statement","id":"Q964678$2D557858-91D4-45D9-9C86-EC3449C4A5D8","rank":"normal"},{"mainsnak":{"snaktype":"value","property":"P226","hash":"e2004744ca6d6853aa39418c1f8e5dbee3912468","datavalue":{"value":"91G60","type":"string"},"datatype":"external-id"},"type":"statement","id":"Q964678$52728F16-9DF2-446D-8BD7-9FC25CAB1B2A","rank":"normal"}],"P1451":[{"mainsnak":{"snaktype":"value","property":"P1451","hash":"94815a0bc1c1881912f48be72cbc5b3ab7e5af51","datavalue":{"value":"5697468","type":"string"},"datatype":"external-id"},"type":"statement","id":"Q964678$4279FD06-C273-45D1-8635-3CCE6B1A621A","rank":"normal"}],"P1450":[{"mainsnak":{"snaktype":"value","property":"P1450","hash":"58f1a0474362a40cdf67413d1d7cb79c7732b29d","datavalue":{"value":"adjoint equation","type":"string"},"datatype":"string"},"type":"statement","id":"Q964678$B258FCC5-B2E4-46F0-BF70-DE0E281FF800","rank":"normal"},{"mainsnak":{"snaktype":"value","property":"P1450","hash":"59801ccd37c7a3423460dd9cf4061d58f40e3225","datavalue":{"value":"Monte Carlo calibration","type":"string"},"datatype":"string"},"type":"statement","id":"Q964678$E7169B0C-C7D0-403C-B546-3BA72619772B","rank":"normal"},{"mainsnak":{"snaktype":"value","property":"P1450","hash":"3c63f501ac21883fbd68880320e3026ffa2176cc","datavalue":{"value":"multi-layer method","type":"string"},"datatype":"string"},"type":"statement","id":"Q964678$A5C5B1C6-6972-4B5D-9CE3-2691F919AEA9","rank":"normal"}],"P1463":[{"mainsnak":{"snaktype":"value","property":"P1463","hash":"d004d2a492f9bef585bb2f01f8cede8e1f178add","datavalue":{"value":{"entity-type":"item","numeric-id":17767,"id":"Q17767"},"type":"wikibase-entityid"},"datatype":"wikibase-item"},"type":"statement","id":"Q964678$CD29CCAA-7A83-4AF6-9418-1E608D511AAF","rank":"normal"}],"P1460":[{"mainsnak":{"snaktype":"value","property":"P1460","hash":"57f7fea50d2ce1b39b695c4a1313582eed405e38","datavalue":{"value":{"entity-type":"item","numeric-id":5976449,"id":"Q5976449"},"type":"wikibase-entityid"},"datatype":"wikibase-item"},"type":"statement","id":"Q964678$00CF040A-23ED-4D95-A63C-CA7F4599E3BE","rank":"normal"}],"P205":[{"mainsnak":{"snaktype":"value","property":"P205","hash":"d91e785f43385df92e1587271f5b66a84b2dfc58","datavalue":{"value":"https://doi.org/10.1007/s00780-009-0097-9","type":"string"},"datatype":"url"},"type":"statement","id":"Q964678$F8CABE03-9DE2-4256-B07C-3BCC8E25718C","rank":"normal"}],"P388":[{"mainsnak":{"snaktype":"value","property":"P388","hash":"c0909d5b00e87a409203f030868d4f9817daf63c","datavalue":{"value":"W1972375231","type":"string"},"datatype":"external-id"},"type":"statement","id":"Q964678$ECBC0694-60BE-4F6D-8BA1-21F9273C8D43","rank":"normal"}],"P223":[{"mainsnak":{"snaktype":"value","property":"P223","hash":"aa0d284df1179d44585e304c96bab8fc53188e73","datavalue":{"value":{"entity-type":"item","numeric-id":2502199,"id":"Q2502199"},"type":"wikibase-entityid"},"datatype":"wikibase-item"},"type":"statement","id":"Q964678$385899C5-0197-4608-A938-198355A27B56","rank":"normal"},{"mainsnak":{"snaktype":"value","property":"P223","hash":"e75f601a764293616ae60af4d78b0faee6bca866","datavalue":{"value":{"entity-type":"item","numeric-id":4840764,"id":"Q4840764"},"type":"wikibase-entityid"},"datatype":"wikibase-item"},"type":"statement","id":"Q964678$3E4FF184-0E41-47EE-9774-28A675C6DF0B","rank":"normal"},{"mainsnak":{"snaktype":"value","property":"P223","hash":"d36e2e64b847364994b998d6d6ce0c7ba98c6e20","datavalue":{"value":{"entity-type":"item","numeric-id":2725580,"id":"Q2725580"},"type":"wikibase-entityid"},"datatype":"wikibase-item"},"type":"statement","id":"Q964678$F3986CB9-EE84-4040-8998-542B74CA1755","rank":"normal"},{"mainsnak":{"snaktype":"value","property":"P223","hash":"e15b0be7639b795627d2d41b2fd34195cf31c754","datavalue":{"value":{"entity-type":"item","numeric-id":4785958,"id":"Q4785958"},"type":"wikibase-entityid"},"datatype":"wikibase-item"},"type":"statement","id":"Q964678$42A01CB4-2243-4AC3-802A-04E873BC16EE","rank":"normal"},{"mainsnak":{"snaktype":"value","property":"P223","hash":"fae631f425d8a6aabbff1a56a7a820b655c4a799","datavalue":{"value":{"entity-type":"item","numeric-id":429503,"id":"Q429503"},"type":"wikibase-entityid"},"datatype":"wikibase-item"},"type":"statement","id":"Q964678$5BB8EFAA-7A6C-46BE-9A71-38E261025490","rank":"normal"},{"mainsnak":{"snaktype":"value","property":"P223","hash":"7846a1ab08dec921ece3fc7c4b20fde70c51d6dd","datavalue":{"value":{"entity-type":"item","numeric-id":3084851,"id":"Q3084851"},"type":"wikibase-entityid"},"datatype":"wikibase-item"},"type":"statement","id":"Q964678$57FB8A4B-6C16-4293-A83B-F463BD10942C","rank":"normal"},{"mainsnak":{"snaktype":"value","property":"P223","hash":"885f56e06625fe09637fd6262901517878142adb","datavalue":{"value":{"entity-type":"item","numeric-id":4433608,"id":"Q4433608"},"type":"wikibase-entityid"},"datatype":"wikibase-item"},"type":"statement","id":"Q964678$4EF2698C-3365-4E92-A5B7-0E42FE49E014","rank":"normal"},{"mainsnak":{"snaktype":"value","property":"P223","hash":"a4a7063829004c41e1f7a444e52f4703a68e0588","datavalue":{"value":{"entity-type":"item","numeric-id":5374080,"id":"Q5374080"},"type":"wikibase-entityid"},"datatype":"wikibase-item"},"type":"statement","id":"Q964678$B972BAE4-529B-4FCF-AB23-4B3BE4EB5729","rank":"normal"},{"mainsnak":{"snaktype":"value","property":"P223","hash":"ff02228ff51f353f42f3a141505a3dd842f28c48","datavalue":{"value":{"entity-type":"item","numeric-id":3374309,"id":"Q3374309"},"type":"wikibase-entityid"},"datatype":"wikibase-item"},"type":"statement","id":"Q964678$42CA9FA2-B8DC-4408-8C74-7C82D97ED163","rank":"normal"},{"mainsnak":{"snaktype":"value","property":"P223","hash":"f3411862a286563495e8fd11857bfe601bbb1a8e","datavalue":{"value":{"entity-type":"item","numeric-id":964678,"id":"Q964678"},"type":"wikibase-entityid"},"datatype":"wikibase-item"},"type":"statement","id":"Q964678$3156485B-4B28-4DAE-A9CA-94D1F73BACFA","rank":"normal"},{"mainsnak":{"snaktype":"value","property":"P223","hash":"046f600fe4fedb0edfe535eb256a9e51364e39e4","datavalue":{"value":{"entity-type":"item","numeric-id":4296198,"id":"Q4296198"},"type":"wikibase-entityid"},"datatype":"wikibase-item"},"type":"statement","id":"Q964678$5F4BA3DC-F5AB-4259-BB94-1565D80E576D","rank":"normal"},{"mainsnak":{"snaktype":"value","property":"P223","hash":"108fbe542599be48627272b403253950eb607c31","datavalue":{"value":{"entity-type":"item","numeric-id":935180,"id":"Q935180"},"type":"wikibase-entityid"},"datatype":"wikibase-item"},"type":"statement","id":"Q964678$D5A004E2-5114-4E61-B84A-D0F0009788FE","rank":"normal"},{"mainsnak":{"snaktype":"value","property":"P223","hash":"c4eef6ec57dc1f059a1e3d5a7b63a5c73a977635","datavalue":{"value":{"entity-type":"item","numeric-id":4004325,"id":"Q4004325"},"type":"wikibase-entityid"},"datatype":"wikibase-item"},"type":"statement","id":"Q964678$C5137743-7C11-4F0A-91DD-973BD90C3153","rank":"normal"},{"mainsnak":{"snaktype":"value","property":"P223","hash":"da2c30a01d21a412b618164f1d8862d3be6bab44","datavalue":{"value":{"entity-type":"item","numeric-id":4942767,"id":"Q4942767"},"type":"wikibase-entityid"},"datatype":"wikibase-item"},"type":"statement","id":"Q964678$58EE5916-3604-4F37-9DEE-F9690B73009D","rank":"normal"},{"mainsnak":{"snaktype":"value","property":"P223","hash":"f9dda37a5bd87a3abde825c56fa015e430ca88b9","datavalue":{"value":{"entity-type":"item","numeric-id":5190133,"id":"Q5190133"},"type":"wikibase-entityid"},"datatype":"wikibase-item"},"type":"statement","id":"Q964678$237298C3-76A3-4B8B-BD1F-D33DFD27BB31","rank":"normal"},{"mainsnak":{"snaktype":"value","property":"P223","hash":"c46d77252ea06f9227352f36ee8ba90c45c70d70","datavalue":{"value":{"entity-type":"item","numeric-id":4255577,"id":"Q4255577"},"type":"wikibase-entityid"},"datatype":"wikibase-item"},"type":"statement","id":"Q964678$15BDC8DE-E34B-42EF-B167-5C4C83271406","rank":"normal"},{"mainsnak":{"snaktype":"value","property":"P223","hash":"00f4f2a7dda0215bf25fa319a96f57f1107f0a46","datavalue":{"value":{"entity-type":"item","numeric-id":4452116,"id":"Q4452116"},"type":"wikibase-entityid"},"datatype":"wikibase-item"},"type":"statement","id":"Q964678$6AE7B33A-DBA7-45D9-9C2A-C86057A3A444","rank":"normal"}],"P27":[{"mainsnak":{"snaktype":"value","property":"P27","hash":"1c04ec5dc0924379016895ecdd96fbbec74b6f53","datavalue":{"value":"10.1007/S00780-009-0097-9","type":"string"},"datatype":"external-id"},"type":"statement","id":"Q964678$6FF34387-C7A5-41CA-B328-9941758239A2","rank":"normal"}],"P1643":[{"mainsnak":{"snaktype":"value","property":"P1643","hash":"0393fac0e5c9be7d12c08e77cc1d22591a8e2411","datavalue":{"value":{"entity-type":"item","numeric-id":3084851,"id":"Q3084851"},"type":"wikibase-entityid"},"datatype":"wikibase-item"},"type":"statement","qualifiers":{"P1659":[{"snaktype":"value","property":"P1659","hash":"15360e4e3230e71a1806d7620b3737e53559e4b7","datavalue":{"value":{"amount":"+0.8181340098381042","unit":"1"},"type":"quantity"},"datatype":"quantity"}],"P1660":[{"snaktype":"value","property":"P1660","hash":"a327a09ea0305e98d5cf33bd4036320e19f2aed0","datavalue":{"value":{"entity-type":"item","numeric-id":6821328,"id":"Q6821328"},"type":"wikibase-entityid"},"datatype":"wikibase-item"}]},"qualifiers-order":["P1659","P1660"],"id":"Q964678$7C19DA8D-DE4B-4326-A1B4-EA69C248694E","rank":"normal"},{"mainsnak":{"snaktype":"value","property":"P1643","hash":"87f41548023f42a3081e26292a405e9269ef4c2f","datavalue":{"value":{"entity-type":"item","numeric-id":1979069,"id":"Q1979069"},"type":"wikibase-entityid"},"datatype":"wikibase-item"},"type":"statement","qualifiers":{"P1659":[{"snaktype":"value","property":"P1659","hash":"2f7eca6decd559ec3af3dce7905d38736de79411","datavalue":{"value":{"amount":"+0.7895448207855225","unit":"1"},"type":"quantity"},"datatype":"quantity"}],"P1660":[{"snaktype":"value","property":"P1660","hash":"a327a09ea0305e98d5cf33bd4036320e19f2aed0","datavalue":{"value":{"entity-type":"item","numeric-id":6821328,"id":"Q6821328"},"type":"wikibase-entityid"},"datatype":"wikibase-item"}]},"qualifiers-order":["P1659","P1660"],"id":"Q964678$3EB83759-3E16-4E41-A6AC-9D869A00F62B","rank":"normal"},{"mainsnak":{"snaktype":"value","property":"P1643","hash":"9f1ed2e01560facf5346dd4b8c19585d1b1815b2","datavalue":{"value":{"entity-type":"item","numeric-id":4586457,"id":"Q4586457"},"type":"wikibase-entityid"},"datatype":"wikibase-item"},"type":"statement","qualifiers":{"P1659":[{"snaktype":"value","property":"P1659","hash":"6bf480999b9814856a8a43a13f8c53cc71151057","datavalue":{"value":{"amount":"+0.7854047417640686","unit":"1"},"type":"quantity"},"datatype":"quantity"}],"P1660":[{"snaktype":"value","property":"P1660","hash":"a327a09ea0305e98d5cf33bd4036320e19f2aed0","datavalue":{"value":{"entity-type":"item","numeric-id":6821328,"id":"Q6821328"},"type":"wikibase-entityid"},"datatype":"wikibase-item"}]},"qualifiers-order":["P1659","P1660"],"id":"Q964678$B880480A-5003-4761-8254-116C397DB746","rank":"normal"},{"mainsnak":{"snaktype":"value","property":"P1643","hash":"b03445e513acae3f591c418e4f1ec40b08d5d773","datavalue":{"value":{"entity-type":"item","numeric-id":4571698,"id":"Q4571698"},"type":"wikibase-entityid"},"datatype":"wikibase-item"},"type":"statement","qualifiers":{"P1659":[{"snaktype":"value","property":"P1659","hash":"be9add28e1a5033df0d7297a52ea12a013ab3b8b","datavalue":{"value":{"amount":"+0.7761996984481812","unit":"1"},"type":"quantity"},"datatype":"quantity"}],"P1660":[{"snaktype":"value","property":"P1660","hash":"a327a09ea0305e98d5cf33bd4036320e19f2aed0","datavalue":{"value":{"entity-type":"item","numeric-id":6821328,"id":"Q6821328"},"type":"wikibase-entityid"},"datatype":"wikibase-item"}]},"qualifiers-order":["P1659","P1660"],"id":"Q964678$069E5643-C9D1-4A34-A7D4-CAAAD4B95E03","rank":"normal"},{"mainsnak":{"snaktype":"value","property":"P1643","hash":"b39a4d42f6043709e81247aba682af3260bbf43f","datavalue":{"value":{"entity-type":"item","numeric-id":3087042,"id":"Q3087042"},"type":"wikibase-entityid"},"datatype":"wikibase-item"},"type":"statement","qualifiers":{"P1659":[{"snaktype":"value","property":"P1659","hash":"be123e0268384042d20536c96776aa3904f14426","datavalue":{"value":{"amount":"+0.7666847705841064","unit":"1"},"type":"quantity"},"datatype":"quantity"}],"P1660":[{"snaktype":"value","property":"P1660","hash":"a327a09ea0305e98d5cf33bd4036320e19f2aed0","datavalue":{"value":{"entity-type":"item","numeric-id":6821328,"id":"Q6821328"},"type":"wikibase-entityid"},"datatype":"wikibase-item"}]},"qualifiers-order":["P1659","P1660"],"id":"Q964678$D3406199-8527-46F3-BF44-810F672CDAA8","rank":"normal"}]},"sitelinks":{"mardi":{"site":"mardi","title":"Adjoint-based Monte Carlo calibration of financial methods","badges":[],"url":"https://portal.mardi4nfdi.de/wiki/Adjoint-based_Monte_Carlo_calibration_of_financial_methods"}}}}}