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Adjoint Venture: Fast Greeks with Adjoint Algorithmic Differentiation
This dissertation seeks to discuss the adjoint approach to solving affine recursion problems (ARPs) in the context of computing sensitivities of financial instruments. It is shown how, by moving from an intuitive 'forward' approach to solving a recursion to an 'adjoint' approach, one might dramatica...
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| Format: | Thesis |
| Language: | English |
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Division of Actuarial Science
2017
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| _version_ | 1867613466460684288 |
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| access_status_str | Open Access |
| author | McPetrie, Christopher Lindsay |
| author2 | McWalter, Thomas |
| author_browse | McPetrie, Christopher Lindsay McWalter, Thomas |
| author_facet | McWalter, Thomas McPetrie, Christopher Lindsay |
| author_sort | McPetrie, Christopher Lindsay |
| collection | Thesis |
| description | This dissertation seeks to discuss the adjoint approach to solving affine recursion problems (ARPs) in the context of computing sensitivities of financial instruments. It is shown how, by moving from an intuitive 'forward' approach to solving a recursion to an 'adjoint' approach, one might dramatically increase the computational efficiency of algorithms employed to compute sensitivities via the pathwise derivatives approach in a Monte Carlo setting. Examples are illustrated within the context of the Libor Market Model. Furthermore, these ideas are extended to the paradigm of Adjoint Algorithmic Differentiation, and it is illustrated how the use of sophisticated techniques within this space can further improve the ease of use and efficiency of sensitivity calculations. |
| format | Thesis |
| id | oai:open.uct.ac.za:11427/25412 |
| institution | University of Cape Town (South Africa) |
| language | eng |
| last_indexed | 2026-06-10T12:36:35.938Z |
| license_str | Not specified — see source repository |
| provenance_str_mv | Harvested via OAI-PMH from UCTD — University of Cape Town Open Access Repository |
| publishDate | 2017 |
| publishDateRange | 2017 |
| publishDateSort | 2017 |
| publisher | Division of Actuarial Science |
| publisherStr | Division of Actuarial Science |
| record_format | dspace |
| source_str | UCTD — University of Cape Town Open Access Repository |
| spelling | oai:open.uct.ac.za:11427/25412 Adjoint Venture: Fast Greeks with Adjoint Algorithmic Differentiation McPetrie, Christopher Lindsay McWalter, Thomas Mathematical Finance This dissertation seeks to discuss the adjoint approach to solving affine recursion problems (ARPs) in the context of computing sensitivities of financial instruments. It is shown how, by moving from an intuitive 'forward' approach to solving a recursion to an 'adjoint' approach, one might dramatically increase the computational efficiency of algorithms employed to compute sensitivities via the pathwise derivatives approach in a Monte Carlo setting. Examples are illustrated within the context of the Libor Market Model. Furthermore, these ideas are extended to the paradigm of Adjoint Algorithmic Differentiation, and it is illustrated how the use of sophisticated techniques within this space can further improve the ease of use and efficiency of sensitivity calculations. 2017-09-26T14:57:45Z 2017-09-26T14:57:45Z 2017 Master Thesis Masters MPhil http://hdl.handle.net/11427/25412 eng application/pdf Division of Actuarial Science Faculty of Commerce University of Cape Town |
| spellingShingle | Mathematical Finance McPetrie, Christopher Lindsay Adjoint Venture: Fast Greeks with Adjoint Algorithmic Differentiation |
| thesis_degree_str | Master's |
| title | Adjoint Venture: Fast Greeks with Adjoint Algorithmic Differentiation |
| title_full | Adjoint Venture: Fast Greeks with Adjoint Algorithmic Differentiation |
| title_fullStr | Adjoint Venture: Fast Greeks with Adjoint Algorithmic Differentiation |
| title_full_unstemmed | Adjoint Venture: Fast Greeks with Adjoint Algorithmic Differentiation |
| title_short | Adjoint Venture: Fast Greeks with Adjoint Algorithmic Differentiation |
| title_sort | adjoint venture fast greeks with adjoint algorithmic differentiation |
| topic | Mathematical Finance |
| url | http://hdl.handle.net/11427/25412 |
| work_keys_str_mv | AT mcpetriechristopherlindsay adjointventurefastgreekswithadjointalgorithmicdifferentiation |