Automatic differentiation for the stochastic ode of finance
Olivier Pironneau, LJLL-UPMC (Paris VI)
| Speaker |
Olivier Pironneau, LJLL-UPMC (Paris VI)
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|---|---|
| When |
Nov 16, 2015
from 03:30 PM to 04:30 PM |
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Abstract:
In finance modeling uses almost always one or several stochastic differential or integro-differential equations (SODE). Agents in the financial world are computing daily thousands of sensitivities of expected value of solutions of SODE. We will answer the following questions:
1. Can these be computed by using automatic differentiation of computer programs
2. How does it compare with McGiles' Vibrato and Malliavin calculus ?
3. Furthermore how does it compare with the PDE approach ?