15 years of Adjoint Algorithmic Differentiation (AAD) in finance

Luca Capriotti and Mike Giles

Year of publication:	2024
Authors:	Capriotti, Luca ; Giles, Mike
Subject:	Algorithmic differentiation \| Calibration of stochastic models \| Derivatives pricing \| Monte Carlo simulations \| Partial differential equations \| Monte-Carlo-Simulation \| Monte Carlo simulation \| Optionspreistheorie \| Option pricing theory \| Derivat \| Derivative \| Stochastischer Prozess \| Stochastic process \| Finanzmathematik \| Mathematical finance \| Algorithmus \| Algorithm \| Analysis \| Mathematical analysis \| Simulation

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