Algorithmic Differentiation in Finance Explained

Lingua: inglese

Editore: Springer, Berlin, Springer International Publishing, Macmillan Education Sep 2017, 2017

3319539787 / 9783319539782

Serie: Libro 8 di 9 - Financial Engineering Explained

Da: BuchWeltWeit Ludwig Meier e.K., Bergisch Gladbach, GermaniaBuchWeltWeit Ludwig Meier e.K.

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Venditore AbeBooks dal 11 gennaio 2012

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Descrizione dell’articolo da parte del venditore

This item is printed on demand - it takes 3-4 days longer - Neuware -This book provides the first practical guide to the function and implementation of algorithmic differentiation in finance. Written in a highly accessible way, Algorithmic Differentiation Explained will take readers through all the major applications of AD in the derivatives setting with a focus on implementation.Algorithmic Differentiation (AD) has been popular in engineering and computer science, in areas such as fluid dynamics and data assimilation for many years. Over the last decade, it has been increasingly (and successfully) applied to financial risk management, where it provides an efficient way to obtain financial instrument price derivatives with respect to the data inputs. Calculating derivatives exposure across a portfolio is no simple task. It requires many complex calculations and a large amount of computer power, which in prohibitively expensive and can be time consuming. Algorithmic differentiation techniques can be very successfully in computing Greeks and sensitivities of a portfolio with machine precision. Written by a leading practitioner who works and programmes AD, it offers a practical analysis of all the major applications of AD in the derivatives setting and guides the reader towards implementation. Open source code of the examples is provided with the book, with which readers can experiment and perform their own test scenarios without writing the related code themselves. 103 pp. Englisch.…

Codice articolo 9783319539782

Titolo
Algorithmic Differentiation in Finance Explained
Autore
Marc Henrard
Editore
Springer, Berlin, Springer International Publishing, Macmillan Education Sep 2017
Anno di pubblicazione
2017
Condizione
Neu
Rilegatura
Taschenbuch
Lingua
inglese
ISBN 10
3319539787
ISBN 13
9783319539782
Peso dell'articolo
210 grammi
Dimensioni
240x160x5 mm
Serie
Libro 8 di 9: Financial Engineering Explained

BuchWeltWeit Ludwig Meier e.K.

Bergisch Gladbach, Germania

Venditore con 5 stelle

Venditore AbeBooks dal 11 gennaio 2012

Tariffe di spedizione da Germania a U.S.A.

ArticoloDa 5 a 15 giorni lavorativiDa 5 a 15 giorni lavorativi
Primo articoloEUR 23,00EUR 23,00
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