Titlebook: Algorithmic Differentiation in Finance Explained; Marc Henrard Book 2017 The Editor(s) (if applicable) and The Author(s) 2017 Algorithmic

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Deploy Machine Learning Models to Productioncredit curves and vega to interpolated volatility surfaces or cubes. The bucketed delta is usually more computationally costly as the multiple curves in a multi-curve framework are often made of 20–100 points and there are 20–100 deltas to compute.

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Book 2017ible way, .Algorithmic Differentiation Explained. will take readers through all the major applications of AD in the derivatives setting with a focus on implementation..Algorithmic Differentiation (AD) has been popular in engineering and computer science, in areas such as fluid dynamics and data assi

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