Henrard, Marc
Algorithmic Differentiation in Finance Explained
- ISBN 13:
- 9783319539782
- author:
- Henrard, Marc
- format:
- Paperback
- publisher:
- Springer International Publishing AG
- language:
- English
- Publication Year:
- 2017
- Pages:
- 103
- Dimensions:
- 23.5 x 15.49 x 0.64 centimetres
- Genre:
- Science, Mathematics, Applied,
- Condition:
- New
- Availability:
- Item usually sent within 5 working days
Description
Algorithmic Differentiation in Finance Explained provides a practical guide to understanding and implementing algorithmic differentiation in finance. Written in an accessible way, this book takes readers through major applications of AD in the derivatives setting, with a focus on implementation.
Algorithmic differentiation (AD) is a technique that has been successfully applied to financial risk management, providing an efficient way to calculate financial instrument price derivatives with respect to data inputs. This book offers a practical analysis of AD's applications and guides readers towards implementing this method in their own work.
With open source code examples provided, readers can experiment and test scenarios without writing the related code themselves, making it easier to put AD into practice.
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