Adjoint Venture: Fast Greeks with Adjoint Algorithmic Differentiation
This dissertation seeks to discuss the adjoint approach to solving affine recursion problems (ARPs) in the context of computing sensitivities of financial instruments. It is shown how, by moving from an intuitive 'forward' approach to solving a recursion to an 'adjoint' approach,...
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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/11427/25412 |