Henrard, Marc Algorithmic differentiation in finance explained 9783319539782

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Автор: Henrard, Marc
Название: Algorithmic differentiation in finance explained
ISBN: 9783319539782
Издательство: Springer
Классификация:

Финансы

ISBN-10: 3319539787
Обложка/Формат: Paperback
Страницы: 103
Вес: 0.18 кг.
Дата издания: 07.09.2017
Серия: Financial engineering explained
Язык: English
Издание: 1st ed. 2017
Иллюстрации: 7 illustrations, black and white; xiii, 103 p. 7 illus.
Размер: 156 x 236 x 8
Читательская аудитория: Professional & vocational
Ссылка на Издательство: Link
Рейтинг:
Поставляется из: Германии
Описание:

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 implementation.

Algorithmic Differentiation (AD) has been popular in engineering and computer science, in areas such as fluid dynamics and data assimilation for many years. Over the last decade, it has been increasingly (and successfully) applied to financial risk management, where it provides an efficient way to obtain financial instrument price derivatives with respect to the data inputs. Calculating derivatives exposure across a portfolio is no simple task. It requires many complex calculations and a large amount of computer power, which in prohibitively expensive and can be time consuming. Algorithmic differentiation techniques can be very successfully in computing Greeks and sensitivities of a portfolio with machine precision.

Written by a leading practitioner who works and programmes AD, it offers a practical analysis of all the major applications of AD in the derivatives setting and guides the reader towards implementation. Open source code of the examples is provided with the book, with which readers can experiment and perform their own test scenarios without writing the related code themselves.

Algorithmic differentiation in finance explained, Henrard, Marc