Efficient Sensitivity Analysis using Algorithmic Differentiation in Financial Applications
One of the most essential tasks of a financial institution is to keep the financial risk the institution is facing down to an acceptable level. This risk can for example be incurred due to bought or sold financial contracts, however, it can usually be dealt with using some kind of hedging technique....
| Main Authors: | , |
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| Format: | Others |
| Language: | English |
| Published: |
KTH, Matematisk statistik
2015
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| Online Access: | http://urn.kb.se/resolve?urn=urn:nbn:se:kth:diva-174044 |