Computational Differentiation : Finance
- 1 minComputational Differentiation : Use case - Finance
The aim of this seminar was to pick up a paper, understand it thoroughly and then present it to a group of people, considering they are not experts in the field. I was provided the paper Uwe Naumann and Jacques du Toit. Adjoint Algorithmic Differentiation Tool Support for Typical Numerical Patterns in Computational Finance. 2014 and I presented the following presentation and report as deliverables.
Final Presentation (Download link for PDF)
Final Report (Download link for PDF)
Note : The course involved writing a review paper. Any code/ computation/ results is that of the authors of the paper.
References : Uwe Naumann and Jacques du Toit. Adjoint Algorithmic Differentiation Tool Support for Typical Numerical Patterns in Computational Finance. 2014