Computation Graphs for AAD and Machine Learning: Part III: Application to Derivatives Risk Sensitivities

Research output: Contribution to journal › Journal article › Research

Standard

Computation Graphs for AAD and Machine Learning : Part III: Application to Derivatives Risk Sensitivities. / Savine, Antoine.

In: Wilmott, No. 106, 2020, p. 24–39.

Research output: Contribution to journal › Journal article › Research

Harvard

Savine, A 2020, 'Computation Graphs for AAD and Machine Learning: Part III: Application to Derivatives Risk Sensitivities', Wilmott, no. 106, pp. 24–39. https://doi.org/10.1002/wilm.10830

APA

Savine, A. (2020). Computation Graphs for AAD and Machine Learning: Part III: Application to Derivatives Risk Sensitivities. Wilmott, (106), 24–39. https://doi.org/10.1002/wilm.10830

Vancouver

Savine A. Computation Graphs for AAD and Machine Learning: Part III: Application to Derivatives Risk Sensitivities. Wilmott. 2020;(106):24–39. https://doi.org/10.1002/wilm.10830

Author

Savine, Antoine. / Computation Graphs for AAD and Machine Learning : Part III: Application to Derivatives Risk Sensitivities. In: Wilmott. 2020 ; No. 106. pp. 24–39.

Bibtex

@article{bdb55765fc5545afb86faa65c4d29a23,
title = "Computation Graphs for AAD and Machine Learning: Part III: Application to Derivatives Risk Sensitivities",
abstract = "Three articles with code, exploring the notion of computation graph, with words, mathematics and code, and application in Machine Learning and finance to compute a vast number of derivative sensitivities with spectacular speed and accuracy.",
author = "Antoine Savine",
year = "2020",
doi = "10.1002/wilm.10830",
language = "English",
pages = "24–39",
journal = "Wilmott",
issn = "1540-6962",
publisher = "Wiley",
number = "106",

}

RIS

TY - JOUR

T1 - Computation Graphs for AAD and Machine Learning

T2 - Part III: Application to Derivatives Risk Sensitivities

AU - Savine, Antoine

PY - 2020

Y1 - 2020

N2 - Three articles with code, exploring the notion of computation graph, with words, mathematics and code, and application in Machine Learning and finance to compute a vast number of derivative sensitivities with spectacular speed and accuracy.

AB - Three articles with code, exploring the notion of computation graph, with words, mathematics and code, and application in Machine Learning and finance to compute a vast number of derivative sensitivities with spectacular speed and accuracy.

U2 - 10.1002/wilm.10830

DO - 10.1002/wilm.10830

M3 - Journal article

SP - 24

EP - 39

JO - Wilmott

JF - Wilmott

SN - 1540-6962

IS - 106

ER -

ID: 239521246