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

Research output: Contribution to journalJournal articleResearch

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 number106
Pages (from-to)24–39
ISSN1759-6351
DOIs
Publication statusPublished - 2020

ID: 239521246