Adjoint Algorithmic Differentiation (AAD) Masterclass
  • Radisson Blu Edwardian Mercer Street, 20 Mercer Street Covent Garden, London, United Kingdom
    WC2H 9HD
  • Wednesday 21st March, 9:00am - Until Thursday 22nd March, 5:00pm
In this two-day course, attendees discuss the mathematical foundations for adjoints methods.

Algorithmic differentiation (AD) as a general computational technique for the efficient calculation of price sensitivities, and the use of AD software as a way to generate the adjoint code. Focus will be placed on its application to Monte Carlo methods for SDEs and finite difference methods for PDEs.

Standard Pricing: GBP 1999

Social Interaction
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