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Application to Finance

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Algorithmic Differentiation in Finance Explained

Part of the book series: Financial Engineering Explained ((FEX))

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Abstract

It seems there is no easy starting point for reviewing Algorithmic Differentiation in finance. Each function, especially in the simpler one, seems to be an exception with a particular trick more than a general direct application of the methodology.

Knowledge of finance and mathematics helps for programming – A single point is not enough to know about derivatives – Function spaces are of infinite dimension – Black magic with Black formula.

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Notes

  1. 1.

    http://commons.apache.org/proper/commons-math/

  2. 2.

    https://dst.lbl.gov/ACSSoftware/colt/index.html

  3. 3.

    The implementation is the Strata framework developed by OpenGamma. The code is available under an OpenSource license at https://github.com/OpenGamma/Strata.

  4. 4.

    The implementation used in practice is slightly more complex than the one described in this text. In particular the actual implementation has features for serialization, builders and combination of objects. We emphasize here only the AD related features.

References

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Authors and Affiliations

  1. Advisory Partner, Open Gamma, London, United Kingdom

    Marc Henrard

Authors
  1. Marc Henrard
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Henrard, M. (2017). Application to Finance. In: Algorithmic Differentiation in Finance Explained . Financial Engineering Explained. Palgrave Macmillan, Cham. https://doi.org/10.1007/978-3-319-53979-9_3

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  • DOI: https://doi.org/10.1007/978-3-319-53979-9_3

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  • Publisher Name: Palgrave Macmillan, Cham

  • Print ISBN: 978-3-319-53978-2

  • Online ISBN: 978-3-319-53979-9

  • eBook Packages: Economics and FinanceEconomics and Finance (R0)

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