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Algorithmic Differentiation (AD) for Computational Finance

 
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Improved Pricing Structure for The New Financial Year 2015/16: All Video Workshops £99.00

Video Lectures


Session 1. Running Time: 1hr 28mins

Session 2. Running Time: 47mins

Session 2a. Running Time: 1hr 10mins

Session 3. Running Time: 1hr 32mins

Session 4. Running Time: 1hr 9mins


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Presenter: Uwe Naumann: The Numerical Algorithms Group Ltd. (NAG)


Prerequisites

  • You are interested in accurate and cheap greeks
  • You are unhappy with the accuracy and/or the computational cost of bumping

Outline

Motivation. Tangent and Adjoint AD

  • motivation: accurate and cheap greeks

                 –   hello world of finance: race

  • first- and higher-order tangent and adjoint AD

                 –   tangents (directional derivatives) and adjoints

                 –   associativity of chain rule of differential calculus

                 –   drivers

                 –   second-order tangents and adjoints

                 –   recursion for higher order

  • exercise

Tangent and Adjoint Code by AD (Part I)

  • tangent code

                 –   tangent code generation rules

                 –   example (live)

                 –   tangent code by overloading

                 –   second- and higher-order tangent code

  • adjoint straight-line code

                 –   adjoint code generation rules

                 –   example (live)

  • exercise

Tangent and Adjoint Code by AD (Part II)

  • intraprocedural adjoint code

                 –   control flow reversal

                 –   example (live)

  • interprocedural adjoint code

                 –   split call reversal

                 –   example (live)

  • adjoint code by overloading
  • second- and higher-order adjoint code
  • exercise

Advanced Topics in AD. Outlook

  • checkpointing adjoint code
  • (symbolic) tangents and adjoints of numerical methods
  • coupling with bumping
  • “mind the gap”
  • software tool support
  • conclusion and outlook

Reading

U. Naumann: The Art of Differentiating Computer Programs. Number 24 in Software, Environments, and Tools, SIAM, 2012.
http://bookstore.siam.org/se24/


 

Topic

Programming

Published date

12 January 2015

Price

£99.00

Presenter Bio

Uwe Naumann

Related books

No books found for presenter