Computation Graphs for AAD and Machine Learning: Part III: Application to Derivatives Risk Sensitivities
Publikation: Bidrag til tidsskrift › Tidsskriftartikel › Forskning
Three articles with code, exploring the notion of computation graph, with words, mathematics and code, and application in Machine Learning and finance to compute a vast number of derivative sensitivities with spectacular speed and accuracy.
Originalsprog | Engelsk |
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Tidsskrift | Wilmott |
Udgave nummer | 106 |
Sider (fra-til) | 24–39 |
ISSN | 1759-6351 |
DOI | |
Status | Udgivet - 2020 |
ID: 239521246