15 years of Adjoint Algorithmic Differentiation (AAD) in finance
Following the seminal ‘Smoking Adjoint’ paper by Giles and Glasserman [Smoking adjoints: Fast monte carlo greeks. Risk, 2006, <strong>19</strong>, 88–92], the development of Adjoint Algorithmic Differentiation (AAD) has revolutionized the way risk is computed in the financial industry. I...
| Main Authors: | , |
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| Format: | Journal article |
| Language: | English |
| Published: |
Taylor & Francis
2024
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