Stochastic Automatic Differentiation - AAD for Monte-Carlo Simulations - MVA Approximation Methods (Presentation Slides from the 14th Quant Finance Conference, Nice)

Abstract

This first part of this presentation gives an introduction to stochastic automatic differentiation and its application. The second part of the presentation introduces a simple "static hedge" approximation for an SIMM based MVA and compares it with an exact solution (where the exact solution was obtained by the stochastic automatic differentiation).