Mini-symposium on automatic differentiation and its applications in the financial industry
DOI10.1051/proc/201759056zbMath1407.91268arXiv1703.02311OpenAlexW2593872707MaRDI QIDQ4606420
Adil Reghai, Olivier Pironneau, Sébastien Geeraert, Barak A. Pearlmutter, Charles-Albert Lehalle
Publication date: 7 March 2018
Published in: ESAIM: Proceedings and Surveys (Search for Journal in Brave)
Full work available at URL: https://arxiv.org/abs/1703.02311
Numerical methods (including Monte Carlo methods) (91G60) Derivative securities (option pricing, hedging, etc.) (91G20) Numerical methods for partial differential equations, initial value and time-dependent initial-boundary value problems (65M99) PDEs in connection with game theory, economics, social and behavioral sciences (35Q91)
Uses Software
Cites Work
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