Automatic Differentiation for Complex options and algorithms
1 : Laboratoire Jacques-Louis Lions
(LJLL)
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Website
Université Pierre et Marie Curie (UPMC) - Paris VI
B.C. 187 75252 Paris Cedex 05 -
France
Automatic differentiation of computer programs gives an exact evaluation of sensitivities ; there are two approaches, the so called direct and reverse modes. Both are callable by linking C++ librairies based on operator overloading.
In this talk we shall present the mothod, discuss the computing cost and when to use the direct or reverse mode.
We will also discuss the use of automatic differentiation together with multilevel Monte-Carlo.
| Subject : | : | Invited talk in mini-symposium |
| Topics | : | Efficient computations of sensitivities |
| PDF version | : |  PDF version |
- Presentation
