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

Publikation: Bidrag til tidsskriftTidsskriftartikel

  • Antoine Savine
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.
OriginalsprogEngelsk
TidsskriftWilmott
Udgave nummer106
Sider (fra-til)24–39
ISSN1759-6351
DOI
StatusUdgivet - 2020

ID: 239521246