15 years of Adjoint Algorithmic Differentiation (AAD) in finance
Year of publication: |
2024
|
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Authors: | Capriotti, Luca ; Giles, Mike |
Published in: |
Quantitative finance. - London : Taylor & Francis, ISSN 1469-7696, ZDB-ID 2027557-2. - Vol. 24.2024, 9, p. 1353-1379
|
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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