Stochastic algorithmic differentiation of (expectations of) discontinuous functions (indicator functions)

DOI10.1080/00207160.2021.1883593zbMath1499.65005arXiv1811.05741OpenAlexW3128652807MaRDI QIDQ5063446

Christian Fries

Publication date: 21 March 2022

Published in: International Journal of Computer Mathematics (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/1811.05741

zbMATH Keywords

indicator functionMonte Carlo simulationvariance reductionalgorithmic differentiationobject oriented implementationadjoint automatic differentiation

Mathematics Subject Classification ID

Monte Carlo methods (65C05) Numerical differentiation (65D25)

Cites Work

• Stochastic simulation: Algorithms and analysis
• Evaluating Derivatives
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• AAD and least-square Monte Carlo: Fast Bermudan-style options and XVA Greeks
• Rapid and accurate development of prices and Greeks fornth to default credit swaps in the Li model
• Stochastic automatic differentiation: automatic differentiation for Monte-Carlo simulations
• Mathematical Finance
• Interest rate models -- theory and practice

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