Articles

In Code We Trust

25th September 2019 Editor 0

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 […]

Articles

AAD: Breaking the Primal Barrier

18th September 2019 Editor 0

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 […]

Articles

Primer On Arbitrage And Asset Pricing

4th September 2019 Editor 0

  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 […]