Value-at-Risk Theory and Practice
The first advanced book on value-at-risk
Chapter 2, Page 93 Exercise 20
Use the secant method with seed values = 0 and = 1 to solve the same equation as in the previous exercise.
Solution
Newton's method employs the recursive formula
Starting with seed values = 0 and = 1 , we apply [2.147] recursively. Results are indicated below.
website: http://www.contingencyanalysis.com value-at-risk direct link: http://www.value-at-risk.net copyright © Contingency Analysis, 2003