Lecture Computational Finance 2 / Appl. Math. Fin. 01: Algorithmic / Automatic Differentiation (1)
Channel: finmath
Date: 2020-11-11

Lecture on Computational Finance 2 / Applied Mathematical Finance and its Object Oriented Implementation. Session 01: Algorithmic Differentiation / Automatic Differentiation (Part 1)

The first session on algorithmic differentiation (aka automatic differentiation).
- motivation: a code session
- introduction
- notation
- forward automatic differentiation
- backward automatic differentiation