Algorithmic differentiation in finance explained

DOI10.1007/978-3-319-53979-9MaRDI QIDQ4601027zbMATH OpenOpenAlexFDO

Authors Marc Henrard

Publication date 18 January 2018

Full work available at URL https://doi.org/10.1007/978-3-319-53979-9

Mathematics Subject Classification ID

Symbolic computation and algebraic computation (68W30) Introductory exposition (textbooks, tutorial papers, etc.) pertaining to game theory, economics, and finance (91-01) Computational methods for problems pertaining to game theory, economics, and finance (91-08) Financial applications of other theories (91G80)

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Cited in

(6)

• ADI schemes for valuing European options under the Bates model
• Efficient computation of nonlinear isogeometric elements using the adjoint method and algorithmic differentiation
• The art of differentiating computer programs. An introduction to algorithmic differentiation.
• Numerical valuation of Bermudan basket options via partial differential equations
• Neural network empowered liquidity pricing in a two-price economy under conic finance settings
• 15 years of Adjoint Algorithmic Differentiation (AAD) in finance

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