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Stochastic Automatic Differentiation - AAD for Monte-Carlo Simulations - MVA Approximation Methods (Presentation Slides from the 14th Quant Finance Conference, Nice).

Christian P. Fries

出版	SSRN, 2018
URL	http://books.google.com.hk/books?id=dGn_zgEACAAJ&hl=&source=gbs_api

註釋

This first part of this presentation gives an introduction to stochastic automatic differentiation and its application.The second part of the presentation introduces a simple "static hedge" approximation for an SIMM based MVA and compares it with an exact solution (where the exact solution was obtained by the stochastic automatic differentiation).