Lecture Computational Finance 2 / Appl. Math. Fin. 03: Algorithmic / Automatic Differentiation (3)
Channel: finmath
Date: 2020-11-15

Lecture on Computational Finance 2 / Applied Mathematical Finance and its Object Oriented Implementation. Session 02: Algorithmic Differentiation / Automatic Differentiation (Part 3)

The third session on algorithmic differentiation (aka automatic differentiation).
- backward algorithmic differentiation implementation
- code design
- stochastic algorithmic differentiation