Algorithmic Differentiation in Finance Explained

• Main Author: Henrard, Marc (Author)
• Corporate Author: SpringerLink (Online service)
• Format: Electronic eBook
• Language: English
• Published: Cham : Springer International Publishing : Imprint: Palgrave Macmillan, 2017.
• Series: Financial Engineering Explained
• Subjects: Finance.; Financial engineering.; Economics, Mathematical.; Financial Engineering.; Quantitative Finance.

This book provides the first practical guide to the function and implementation of algorithmic differentiation in finance. Written in a highly accessible way, Algorithmic Differentiation Explained will take readers through all the major applications of AD in the derivatives setting with a focus on i...

Table of Contents:

• Chapter1 Introduction
• Chapter2 The Principles of Algorithmic Differentiation
• Chapter3 Applications to Finance
• Chapter4 Automated Algorithmic differentiation
• Chapter5 Derivatives to Non-inputs and Non-derivatives to Inputs
• Chapter 6 Calibration.