Publication: The efficient application of automatic differentiation for computing gradients in financial applications
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The efficient application of automatic differentiation for computing gradients in financial applications

- Article in a journal -
 

Area
Finance

Author(s)
Wei Xu , Xi Chen , Thomas F. Coleman

Published in
The Journal of Computational Finance

Year
2016

Publisher
Infopro Digital Services Ltd

AD Tools
ADMAT / ADMIT

AD Theory and Techniques
Hierarchical Approach

BibTeX
@ARTICLE{
         Xu2016Tea,
       doi = "10.21314/jcf.2016.209",
       url = "https://doi.org/10.21314/jcf.2016.209",
       year = "2016",
       month = "mar",
       publisher = "Infopro Digital Services Ltd",
       volume = "19",
       number = "3",
       pages = "71--96",
       author = "Wei Xu and Xi Chen and Thomas F. Coleman",
       title = "The efficient application of automatic differentiation for computing gradients in
         financial applications",
       journal = "The Journal of Computational Finance",
       ad_area = "Finance",
       ad_tools = "ADMAT / ADMIT",
       ad_theotech = "Hierarchical Approach"
}


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