Accelerated Adjoint Algorithmic Differentiation with Applications in Finance
Adjoint Differentiation's (AD) ability to calculate Greeks efficiently and to machine precision while scaling in constant time to the number of input variables is attractive for calibration and hedging where frequent calculations are required. Algorithmic adjoint differentiation tools automatic...
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| Format: | Dissertation |
| Language: | English |
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University of Cape Town
2017
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| Online Access: | http://hdl.handle.net/11427/24888 |