Shoping cart:
Empty
Cheap Software
Search by Letter:
A B C D E F G H I J K L M N O P Q R S T U V W X Y Z All programs New Mac

Algorithmic Differentiation in Finance Explained

10$
Buy!Download Size: 2.58 MB

× Algorithmic Differentiation in Finance Explained Close
Algorithmic Differentiation in Finance Explained ByMarc Henrard
English | PDF | 2017 | 112 Pages | ISBN : 3319539787 | 2.78 MB
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.


Algorithmic Differentiation in Finance Explained

10$
Buy!Download Size: 2.58 MB


Customers who bought this program also bought:




Software Store Deal of the Day

2010 SUPER PACK 4

2010 SUPER PACK 4

Unclude: Adobe Acrobat 9.0 Pro Extended (1 dvd), Adobe Photoshop CS5 Extended 12.0 (1 dvd), Autodesk Autocad LT 2011 (1 dvd), Corel WinDVD Pro 2010 10.0.5.291 Multilingual, CorelDRAW Graphics Suite X5 15.0.0.486, DVD Cloner VII 7.10.992, TechSmith Camtasia Studio 7.0.0

Real PriceSaving Deal of the Day View it »
$2960 94.6%229$BUY!
We recommend
Categories
© 2010-2017. All rights reserved.