Adjoint algorithmic differentiation tool support for typical numerical patterns in computational finance
Uwe Naumann and Jacques du Toit
| Year of publication: |
February 2018
|
|---|---|
| Authors: | Naumann, Uwe ; Du Toit, Jacques |
| Published in: |
The journal of computational finance. - London : Infopro Digital Risk, ISSN 1460-1559, ZDB-ID 1433009-X. - Vol. 21.2017/2018, 4, p. 23-57
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| Subject: | adjoint algorithmic differentiation | Monte Carlo method | finite-difference method | adjoints by operator overloading in C++ | implicit functions | preaccumulation | Algorithmus | Algorithm | Theorie | Theory | Monte-Carlo-Simulation | Monte Carlo simulation | Mathematische Optimierung | Mathematical programming | Finanzmathematik | Mathematical finance |
| Type of publication: | Article |
|---|---|
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Other identifiers: | 10.21314/JCF.2018.339 [DOI] |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10011848395