Welcome to the Quant Equation Archive!
The equations in this category are used to estimate the derivative of functions.
These routines are quite often used in finance to estimate sensitivities like delta,gamma,theta, and the estimation of boundary conditions.
Numerical Differentiation
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| Approximation formula for the first derivative. These equations are known as the forward and backward Eurler rules. full text » |
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| Approximation formula for the first derivative. These 3 point equations have second order accuracy. full text » |
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| Asymmetrical approximation formula for the first derivative. These 3 point equations have second order accuracy. full text » |
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| Approximation formula for the first derivative. These 4 point equations have third order accuracy. full text » |
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| Approximation formula for the first derivative. These 5 point equations have fourth order accuracy. full text » |
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| Approximation of the second derivative using the 3 point rule. full text » |
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| Approximation of the second derivative using the 4 point rule. full text » |
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| Approximation of the second derivative using the 5 point rule. full text » |
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