Full Text Available
Note: Clicking the button above will open the full text document at the original institutional repository in a new window.
Accelerated Adjoint Algorithmic Differentiation with Applications in Finance
Adjoint Differentiation's (AD) ability to calculate Greeks efficiently and to machine precision while scaling in constant time to the number of input variables is attractive for calibration and hedging where frequent calculations are required. Algorithmic adjoint differentiation tools automatically...
Saved in:
| Main Author: | |
|---|---|
| Other Authors: | |
| Format: | Thesis |
| Language: | English |
| Published: |
Division of Actuarial Science
2017
|
| Subjects: | |
| Tags: |
No Tags, Be the first to tag this record!
|
Be the first to leave a comment!