The efficient application of automatic differentiation for computing gradients in financial applications
Wei Xu, Xi Chen and Thomas F. Coleman
| Year of publication: |
March 2016
|
|---|---|
| Authors: | Xu, Wei ; Chen, Xi ; Coleman, Thomas F. |
| Published in: |
The journal of computational finance. - London : Infopro Digital Risk, ISSN 1460-1559, ZDB-ID 1433009-X. - Vol. 19.2016, 3, p. 71-96
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| Subject: | gradient | automatic differentation (AD) | reverse mode | Greeks | calibration | Monte Carlo method | Monte-Carlo-Simulation | Monte Carlo simulation | Griechenland | Greece | Optionspreistheorie | Option pricing theory | Stochastischer Prozess | Stochastic process |
| Type of publication: | Article |
|---|---|
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10011563485