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Antoine Savine, Brian Huge and Hans-Jorgen Flyger
Global Derivatives 2015 Talk
We identify some of the most delicate challenges of a practical implementation of AAD for exotics, xVA and capital requirement calculations, and explain the solutions.
Danske Bank earned the In-House System of the Year 2015 Risk award after implementing AAD in its regulatory systems.
The practical implementation of AAD is explained in words, mathematics and code in our book with Wiley (2018):
Modern Computational Finance: AAD and Parallel Simulations
Antoine Savine, Brian Huge and Hans-Jorgen Flyger Global Derivatives 2015 Talk We identify some of the most delicate challenges of a practical implementation of AAD for exotics, xVA and capital requirement calculations, and explain the solutions. Danske Bank earned the In-House System of the Year 2015 Risk award after implementing AAD in its regulatory systems. The practical implementation of AAD is explained in words, mathematics and code in our book with Wiley (2018): Modern Computational Finance: AAD and Parallel Simulations
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