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
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

Check Google Scholar |

More access options

In libraries world-wide (WorldCat)

In German libraries (KVK)

Which error do you want to report?

Report: URL of this record is broken

Please note: Sometimes more than one URL is available for a resource. Please click on "More Options" to display these URLs

Report: Addition of an URL to that resource

Please note: Sometimes more than one URL is available for a resource. Please click on "More Options" to display these URLs

Report: The language(s) of that resource is/are…

Please note: Required language not in the list? Please use comment field

Report: Addition of an identifier to that resource

Report: report typo

Report: Add statement

Report: Add keywords

Please use the commentary box to describe other errors

Would you like to receive a feedback?

Commentary

Please type the code from the image

For general questions please use this address.

Persistent link: https://www.econbiz.de/10011563485

A service of the