金融领域的交点算法微分 (AAD) 15 年历程

IF 1.5 4区经济学 Q3 BUSINESS, FINANCE

Quantitative Finance 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

Quantitative Finance 社会科学-数学跨学科应用

CiteScore

3.20

自引率

7.70%

发文量

102

审稿时长

4-8 weeks

期刊介绍： The frontiers of finance are shifting rapidly, driven in part by the increasing use of quantitative methods in the field. Quantitative Finance welcomes original research articles that reflect the dynamism of this area. The journal provides an interdisciplinary forum for presenting both theoretical and empirical approaches and offers rapid publication of original new work with high standards of quality. The readership is broad, embracing researchers and practitioners across a range of specialisms and within a variety of organizations. All articles should aim to be of interest to this broad readership.