Calibrating the Hull-White model using Adjoint Algorithmic Differentiation
This thesis includes a brief introduction to Adjoint Algorithmic Differentiation (AAD), accompanied by numerical examples, step-by-step explanations and runtime comparisons to a finite difference method. In order to show the applicability of AAD in a stochastic setting, it is also applied in the cal...
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| Format: | Others |
| Language: | English |
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KTH, Matematisk statistik
2017
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| Online Access: | http://urn.kb.se/resolve?urn=urn:nbn:se:kth:diva-214031 |