Two of the most important areas in computational finance: Greeks and, respectively, calibration, are based on efficient and accurate computation of a large number of sensitivities. This paper gives an overview of adjoint and automatic differentiation (AD), also known as algorithmic...

I Pricing and ValuationStochastic Processes and Risk-Neutral Pricing Characteristic FunctionStochastic Models of Asset PricesValuing Derivatives under Various MeasuresTypes of DerivativesDerivatives Pricing via Transform TechniquesDerivatives Pricing via the Fast Fourier TransformFractional Fast...

Intro -- Contents -- Preface -- 1 Introduction -- 2 Linear Equations and Computer Basics -- 3 Nonlinear Equations and Complementarity Problems -- 4 Finite-Dimensional Optimization -- 5 Numerical Integration and Differentiation -- 6 Function Approximation -- 7 Discrete Time, Discrete State...

Cover -- Half Title -- Title Page -- Copyright Page -- Dedication -- Table of Contents -- Preface -- Part I: Programming techniques for financial calculus -- Chapter 1: An introduction to MATLAB®with applications -- 1.1: MATLAB®basics -- 1.1.1: Preliminary elements -- 1.1.2: Vectors and...