Stochastic automatic differentiation: automatic differentiation for Monte-Carlo simulations

DOI10.1080/14697688.2018.1556398MaRDI QIDQ5234330zbMATH OpenOpenAlexWikidataFDO

Authors Christian Fries

Publication date 26 September 2019

Published in Quantitative Finance (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1080/14697688.2018.1556398

zbMATH Keywords

adjoint automatic differentiationAmerican Monte Carloautomatic differentiationconditional expectationindicator functionMonte Carlo simulationobject oriented implementation

Mathematics Subject Classification ID

Stochastic partial differential equations (aspects of stochastic analysis) (60H15) Monte Carlo methods (65C05) Numerical methods (including Monte Carlo methods) (91G60)

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Cites work

• AAD and least-square Monte Carlo: fast Bermudan-style options and XVA Greeks
• Evaluating Derivatives
• Fast Monte Carlo Greeks for financial products with discontinuous pay-offs
• Mathematical Finance
• Optimal Malliavin Weighting Function for the Computation of the Greeks
• Perturbation stable conditional analytic Monte-Carlo pricing scheme for auto-callable products
• Rapid and accurate development of prices and Greeks for \(n\)th to default credit swaps in the Li model

Cited in

(6)

• AAD and least-square Monte Carlo: fast Bermudan-style options and XVA Greeks
• Stochastic algorithmic differentiation of (expectations of) discontinuous functions (indicator functions)
• Automatic adjoint differentiation for gradient descent and model calibration
• Deep xVA Solver: A Neural Network–Based Counterparty Credit Risk Management Framework
• 15 years of Adjoint Algorithmic Differentiation (AAD) in finance
• Stochastic automatic differentiation for Monte Carlo processes

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