Lecture Computational Finance 2 / Appl Math. Fin. 02: Algorithmic / Automatic Differentiation (2)
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 2)
The second session on algorithmic differentiation (aka automatic differentiation).
- backward automatic differentiation (also known as adjoint automatic differentiation or adjoint algorithmic differentiation)- backward versus forward automatic differentiation- efficiency of the algorithm
- implementation