Articles

AAD: Breaking the Primal Barrier

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

Software Frameworks in Quantitative Finance, Part I: Fundamental Principles and Applications to Monte Carlo Methods

We discuss a number of ongoing efforts when developing customizable software systems and frameworks for problems in Quantitative Finance. In particular, we examine the interplay between architecture, patterns and modern object-oriented and generic programming paradigms. […]

Articles

Monte Carlo Methods in Quantitative Finance Generic and Efficient MC Solver in C++ : Wilmott Magazine Article – Daniel Duffy and Joerg Kienitz

We describe how we have designed and implemented a software architecture in C++ to model one-factor and multifactor option pricing problems. We pay attention to the fact that different kinds of applications have their own […]