The Resource Algorithmic Differentiation in Finance Explained, by Marc Henrard, (electronic resource)

Algorithmic Differentiation in Finance Explained, by Marc Henrard, (electronic resource)

Label
Algorithmic Differentiation in Finance Explained
Title
Algorithmic Differentiation in Finance Explained
Statement of responsibility
by Marc Henrard
Creator
Author
Author
Subject
Language
eng
Summary
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
Member of
http://library.link/vocab/creatorName
Henrard, Marc
Dewey number
332
http://bibfra.me/vocab/relation/httpidlocgovvocabularyrelatorsaut
onE0gNKlk9w
Image bit depth
0
LC call number
HG176.7
Literary form
non fiction
Nature of contents
dictionaries
Series statement
Financial Engineering Explained
http://library.link/vocab/subjectName
  • Financial engineering
  • Finance
  • Financial Engineering
  • Quantitative Finance
Label
Algorithmic Differentiation in Finance Explained, by Marc Henrard, (electronic resource)
Instantiates
Publication
Antecedent source
mixed
Bibliography note
Includes bibliographical references and index
Carrier category
online resource
Carrier category code
  • cr
Carrier MARC source
rdacarrier
Color
not applicable
Content category
text
Content type code
  • txt
Content type MARC source
rdacontent
Contents
Chapter1 Introduction -- Chapter2 The Principles of Algorithmic Differentiation -- Chapter3 Applications to Finance -- Chapter4 Automated Algorithmic differentiation -- Chapter5 Derivatives to Non-inputs and Non-derivatives to Inputs -- Chapter 6 Calibration
Dimensions
unknown
Edition
1st ed. 2017.
Extent
1 online resource (XIII, 103 p. 7 illus.)
File format
multiple file formats
Form of item
online
Isbn
9783319539799
Level of compression
uncompressed
Media category
computer
Media MARC source
rdamedia
Media type code
  • c
Other control number
10.1007/978-3-319-53979-9
Quality assurance targets
absent
Reformatting quality
access
Specific material designation
remote
System control number
  • (CKB)4100000000586930
  • (DE-He213)978-3-319-53979-9
  • (MiAaPQ)EBC5017875
  • (EXLCZ)994100000000586930
Label
Algorithmic Differentiation in Finance Explained, by Marc Henrard, (electronic resource)
Publication
Antecedent source
mixed
Bibliography note
Includes bibliographical references and index
Carrier category
online resource
Carrier category code
  • cr
Carrier MARC source
rdacarrier
Color
not applicable
Content category
text
Content type code
  • txt
Content type MARC source
rdacontent
Contents
Chapter1 Introduction -- Chapter2 The Principles of Algorithmic Differentiation -- Chapter3 Applications to Finance -- Chapter4 Automated Algorithmic differentiation -- Chapter5 Derivatives to Non-inputs and Non-derivatives to Inputs -- Chapter 6 Calibration
Dimensions
unknown
Edition
1st ed. 2017.
Extent
1 online resource (XIII, 103 p. 7 illus.)
File format
multiple file formats
Form of item
online
Isbn
9783319539799
Level of compression
uncompressed
Media category
computer
Media MARC source
rdamedia
Media type code
  • c
Other control number
10.1007/978-3-319-53979-9
Quality assurance targets
absent
Reformatting quality
access
Specific material designation
remote
System control number
  • (CKB)4100000000586930
  • (DE-He213)978-3-319-53979-9
  • (MiAaPQ)EBC5017875
  • (EXLCZ)994100000000586930

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