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Algorithmic Differentiation in Finance Explained
Marc Henrard
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Description for Algorithmic Differentiation in Finance Explained
Paperback. Series: Financial Engineering Explained. Num Pages: biography. BIC Classification: KF. Category: (P) Professional & Vocational. Dimension: 235 x 155. .
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 ... Read more
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 ... Read more
Product Details
Publisher
Springer International Publishing AG
Format
Paperback
Publication date
2017
Series
Financial Engineering Explained
Condition
New
Number of Pages
103
Place of Publication
Cham, Switzerland
ISBN
9783319539782
SKU
V9783319539782
Shipping Time
Usually ships in 15 to 20 working days
Ref
99-15
About Marc Henrard
Marc Henrard is Head of Quantitative Research and Advisory Partner at OpenGamma, a provider of derivatives risk analytics solutions. Marc is also an Visiting Professor at University College London. He has over 15 years' experience in finance, including senior positions in risk management, trading, and quantitative analysis. Prior to joining OpenGamma, Marc was in charge of researching and implementing interest ... Read more
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