Step-by-step explanation of algorithmic differentiation for financial applications enables readers to grasp complex concepts easily
Focus on derivatives and portfolio sensitivity calculations provides actionable knowledge for financial professionals
Open-source code examples allow readers to experiment and test scenarios without writing code themselves
Written by a leading practitioner with real-world implementation experience for practical insights
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Financial Engineering Explained Henrard, Marc
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 focu