Application of Adjoint Differentiation (AD) for Calculating Libor Market Model Sensitivities
This dissertation explores a key challenge of the financial industry — the efficient computation of sensitivities of financial instruments. The adjoint approach to solving affine recursion problems (ARPs) is presented as a solution to this challenge. A Monte Carlo setting is adopted and it is illust...
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| Format: | Dissertation |
| Language: | English |
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University of Cape Town
2019
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| Online Access: | http://hdl.handle.net/11427/29218 |