Algorithmic Differentiation in Finance Explained

Ebook Details

Authors

Marc Henrard

Year 2017
Language en
ISBN 9783319539782
File Size 2.51 MB
File Format PDF
Download Counter 117
Google Book Link

Ebook Description

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.