Risky Measures of Risk: Error Analysis of Numerical Differentiation

80 Pages Posted: 9 Jan 2007

See all articles by Harvey J. Stein

Harvey J. Stein

Two Sigma; Columbia University - Department of Mathematics

Date Written: June 22, 2005

Abstract

We review and detail the causes of errors in numerical differentiation, including roundoff error, convexity error, cancellation error and correlated errors. We discuss methods for improving accuracy, including step size selection and smoothing techniques, as well as a number of approaches specific to the types of computations being done.

Keywords: greeks, delta, gamma, theta, differentiation, numerical, numerical differentiation, error, error control, roundoff, convexity, cancellation, smoothing, Hermite, filtering, convolution, Fourier, Gaussian, quadrature, Complex

JEL Classification: C63, G13

Suggested Citation

Stein, Harvey J., Risky Measures of Risk: Error Analysis of Numerical Differentiation (June 22, 2005). Available at SSRN: https://ssrn.com/abstract=955724 or http://dx.doi.org/10.2139/ssrn.955724

Harvey J. Stein (Contact Author)

Two Sigma ( email )

100 6th Ave
New York, NY 10013
United States
10013 (Fax)

Columbia University - Department of Mathematics ( email )

New York, NY
United States

Do you have negative results from your research you’d like to share?

Paper statistics

Downloads
386
Abstract Views
1,801
Rank
140,683
PlumX Metrics