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Calibration in Finance: Very Fast Greeks Through Algorithmic Differentiation and Implicit Function

Marc Henrard. Calibration in Finance: Very Fast Greeks Through Algorithmic Differentiation and Implicit Function. In Vassil N. Alexandrov, Michael Lees, Valeria V. Krzhizhanovskaya, Jack Dongarra, Peter M. A. Sloot, editors, Proceedings of the International Conference on Computational Science, ICCS 2013, Barcelona, Spain, 5-7 June, 2013. Volume 18 of Procedia Computer Science, pages 1145-1154, Elsevier, 2013. [doi]

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Marc Henrard

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