Stochastic automatic differentiation: automatic differentiation for Monte-Carlo simulations

Fries, CP

Fries, CP (reprint author), DZ BANK, Grp Risk Control, Frankfurt, Germany.; Fries, CP (reprint author), Univ Munich, Dept Math, Munich, Germany.

QUANTITATIVE FINANCE, 2019; 19 (6): 1043

Abstract

In this paper we re-formulate the automatic differentiation (and in particular, the backward automatic differentiation, also known as adjoint automati......

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