You’re at a fund that doesn’t want to burn headcount hiring their own data, storage, and sysadmin team, and you’re not alone. Financial institutions of all sizes realize that it is expensive to meet the […]
In this article we present a new approach for automatic adjoint differentiation (AAD) with a special focus on computations where derivatives ∂F(X)/∂X are required for multiple instances of vectors X. In practice, the presented approach […]
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Financial decision making is typically concerned with the amount of investment capital to allocate to various assets or asset classes in various financial markets. The opportunity set can be very complex, with sets of […]