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...

Constant maturity swaps (CMS) and CMS spread options are analysed in the multi-factor HJM framework. For Gaussian models, which include a version of the Libor Market Models and the G2++ model, explicit approximated pricing formulae are provided. Two approximating approaches are proposed: an...

Leveraging the explicit formula for European swaptions and coupon-bond options in the HJM one-factor model, a semi-explicit formula for 2-Bermudan options (also called Canary options) is developed. The European swaption formula is extended to future times. So equipped, one is able to reduce the...