金融领域的交点算法微分 (AAD) 15 年历程

IF 16.4 1区化学 Q1 CHEMISTRY, MULTIDISCIPLINARY

Accounts of Chemical Research Pub Date : 2024-03-22 DOI:10.1080/14697688.2024.2325158

Luca Capriotti, Mike Giles

引用次数: 0

摘要

继 Giles 和 Glasserman 的开创性论文 "吸烟邻接"[Smoking adjoints: Fast monte carlo greeks. Risk, 2006, 19, 88-92] 之后，邻接算法微分（AAD...

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15 years of Adjoint Algorithmic Differentiation (AAD) in finance

Following the seminal ‘Smoking Adjoint’ paper by Giles and Glasserman [Smoking adjoints: Fast monte carlo greeks. Risk, 2006, 19, 88–92], the development of Adjoint Algorithmic Differentiation (AAD...

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来源期刊

Accounts of Chemical Research 化学-化学综合

CiteScore

31.40

自引率

1.10%

发文量

312

审稿时长

2 months

期刊介绍： Accounts of Chemical Research presents short, concise and critical articles offering easy-to-read overviews of basic research and applications in all areas of chemistry and biochemistry. These short reviews focus on research from the author’s own laboratory and are designed to teach the reader about a research project. In addition, Accounts of Chemical Research publishes commentaries that give an informed opinion on a current research problem. Special Issues online are devoted to a single topic of unusual activity and significance. Accounts of Chemical Research replaces the traditional article abstract with an article "Conspectus." These entries synopsize the research affording the reader a closer look at the content and significance of an article. Through this provision of a more detailed description of the article contents, the Conspectus enhances the article's discoverability by search engines and the exposure for the research.