Computation Graphs for AAD and Machine Learning: Part I: Introduction to Computation Graphs and Automatic Differentiation

Research output: Contribution to journalJournal articleResearch

First in a series of 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.
Original languageEnglish
JournalWilmott
Issue number104
Pages (from-to)36-61
ISSN1540-6962
DOIs
Publication statusPublished - 2019

ID: 250165759