Re:Automatic Differentiation: Forward and Reverse
by fgh on Wednesday May 11, 2022 @10:31AM
(#31340505)
Just to add to this that AD was also a game changer for the banks in terms of necessary computing power and the time it needs to do these calculations. Antoine Savine describes this well in "Modern Computational Finance: AAD and Parallel Simulations", if someone is interested in this topic.
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