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...

Partial differential equations -- Elements of the theory of the Stochastic processes -- Partial differential equation in the consumer theory -- Partial differential equations in the producer theory -- Partial differential equations and pricing of the financial -- Derivatives -- A theory of...